On the compensator of the default process in an information-based model

作     者：Matteo Ludovico Bedini Rainer Buckdahn Hans-Jurgen Engelbert 

作者机构：NumerixMilanoItaly Universite de Bretagne OccidentaleBrestFrance´School of MathematicsShandong UniversityJinanShandong ProvincePeople’s Republic of China Friedrich-Schiller-UniversitatFakult¨at f¨ur Mathematik und InformatikInstitut f¨ur StochastikJena¨Germany 

出 版 物：《Probability, Uncertainty and Quantitative Risk》 (概率、不确定性与定量风险（英文）)

年 卷 期：2017年第2卷第1期

页      面：230-250页

学科分类：07[理学] 0701[理学-数学] 070101[理学-基础数学] 

基　　金：supported by the European Community’s FP 7 Program under contract PITN-GA-2008-213841 and Marie Curie ITN《Controlled Systems》 

主　　题：Default time Totally inaccessible stopping time Brownian bridge on random intervals Local time Credit risk Compensator process 

摘      要：This paper provides sufficient conditions for the time of bankruptcy(of a company or a state)for being a totally inaccessible stopping time and provides the explicit computation of its compensator in a framework where the flow of market information on the default is modelled explicitly with a Brownian bridge between 0 and 0 on a random time interval.