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Cox Construction: a random walk in the land of stochastic analysis and numerical probability
Multi angle
Authors : Protter, Philip (Author of the conference)
CIRM (Publisher )
60H10 - Stochastic ordinary differential equations
60J25 - Continuous-time Markov processes on general state spaces
60J60 - Diffusion processes
Additional resources :
https://www.cirm-math.fr/RepOrga/2390/Slides/P_Protter.pdf
CIRM (Publisher )
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Abstract :
The Cox Construction of a totally inaccessible stopping time with a given compensator is ubiquitous in Mathematical Finance, and in particular in Credit Risk. On the other hand, as P.A. Meyer showed long ago, totally inaccessible stopping times arise naturally as the jump times of a strong Markov process. We relate the two ideas and propose a solution to a question posed by Monique Jeanblanc.
Keywords : totally inaccessible stopping time; compensator; Cox construction
MSC Codes : Keywords : totally inaccessible stopping time; compensator; Cox construction
60H10 - Stochastic ordinary differential equations
60J25 - Continuous-time Markov processes on general state spaces
60J60 - Diffusion processes
Additional resources :
https://www.cirm-math.fr/RepOrga/2390/Slides/P_Protter.pdf
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Information on the Video
Film maker : Hennenfent, GuillaumeLanguage : English Available date : 27/09/2023 Conference Date : 04/09/2023 Subseries : Research talks arXiv category : Probability Mathematical Area(s) : Probability & Statistics Format : MP4 (.mp4) - HD Video Time : 00:39:09 Targeted Audience : Researchers ; Graduate Students ; Doctoral Students, Post-Doctoral Students Download : https://videos.cirm-math.fr/2023-09-04_Protter.mp4 
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Information on the Event
Event Title : A Random Walk in the Land of Stochastic Analysis and Numerical Probability / Une marche aléatoire dans l'analyse stochastique et les probabilités numériquesEvent Organizers : Champagnat, Nicolas ; Pagès, Gilles ; Tanré, Etienne ; Tomašević, Milica Dates : 04/09/2023 - 08/09/2023 Event Year : 2023 Event URL : https://conferences.cirm-math.fr/2390.html
Citation Data
DOI : 10.24350/CIRM.V.20087503Cite this video as: Protter, Philip (2023). Cox Construction: a random walk in the land of stochastic analysis and numerical probability. CIRM. Audiovisual resource. doi:10.24350/CIRM.V.20087503 URI : http://dx.doi.org/10.24350/CIRM.V.20087503 |
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Bibliography
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