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- W2188049448 abstract "We provide an explicit construction of a random time when the associated Azéma semimartingale (also known as the survival process) is given in advance. Our approach hinges on the use of a variant of Girsanov’s theorem combined with a judicious choice of the Radon-Nikodým density process. The proposed solution is also partially motivated by the classic example arising in the filtering theory." @default.
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- W2188049448 date "2010-01-01" @default.
- W2188049448 modified "2023-09-27" @default.
- W2188049448 title "Constructing Random Times with Given Survival Processes and Applications to Valuation of Credit Derivatives" @default.
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- W2188049448 doi "https://doi.org/10.1007/978-3-642-03479-4_14" @default.
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