BROWNIAN BRIDGES ON RANDOM INTERVALS

作者：Bedini, M. L.^*; Buckdahn, R.; Engelbert, H. -J.

来源：Theory of Probability and Its Applications, 2017, 61(1): 15-39.

DOI：10.1137/S0040585X97T988022

• Bayes theorem
• Brownian bridge
• default time
• Markov process
• semimartingale decomposition
• credit default swap

The issue of giving an explicit description of the flow of information concerning the time of bankruptcy of a company (or a state) arriving on the market is tackled by defining a bridge process starting from zero and conditioned to be equal to zero when the default occurs. This enables us to collect some empirical facts on the behavior of financial markets: When the bridge process is away from zero, investors can be relatively sure that the default will not happen immediately. However, when the information process is close to zero, market agents should be aware of the risk of an imminent default. In this sense the bridge process leaks information concerning the default before it occurs. The objective of this paper is to provide the basic properties of these processes.

• 出版日期2017
• 单位山东大学