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Stochastic Processes and their Applications
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Stochastic Processes and their Applications
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BSDEs of counterparty risk

descriptionPublicationkeyboard_double_arrow_right Article , Preprint 01 Aug 2015 English Publisher:Elsevier BVJournal:Stochastic Processes and their Applications, volume 125, pages 3,023-3,052 (issn: 0304-4149, Copyright policy )
Authors: Stéphane Crépey; Shiqi Song;

doi: 10.1016/j.spa.2015.02.010

BSDEs of counterparty risk

Abstract

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Keywords

invariant times, backward stochastic differential equations, counterparty risk, BSDE,Progressive enlargement of filtration,Counterparty risk, Martingales with continuous parameter, Credit risk, Financial applications of other theories, local martingales, Stochastic ordinary differential equations (aspects of stochastic analysis)

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    selected citations
    These citations are derived from selected sources.
    This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
    		 15
    popularity
    This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
    		 Top 10%
    influence
    This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
    		 Top 10%
    impulse
    This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
    		 Top 10%
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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
15
Top 10%
Top 10%
Top 10%
hybrid