Study of Dependence for Some Stochastic Processes

By Tomasz R. Bielecki, Jacek Jakubowski, Andrea Vidozzi, Luca Vidozzi. 2008

62 citations recorded by the source corpus.

Subfields: Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/223307274c9949b844211119f45893e5648d8585

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Statistics and Probability

1. St'ephane Cr'epey
2. Tomasz R. Bielecki

Citations in the corpus

• Conditional Markov chains: Properties, construction and structured dependence (2017, methodology): “Markov copulae have been already successfully used in various applications (cf. Bielecki, Vidozzi and Vidozzi Bielecki et al. (2008c), Liang and Dong Liang and Dong (2014), Goutte and Ngoupeyou Goutte and Ngoupeyou (2013), Bielecki, Crepey, Jeanblanc and Zagrari Bielecki et al. (2012a), Bielecki, Ci”
• About the Pricing Equations in Finance (2011, background): “[23] yields that N t is an F – Markov chain (and therefore, a Markov chain with respect to its own filtration).”
• Counterparty Risk on a CDS in a Markov Chain Copula Model with Joint Defaults (2010, methodology): “Bielecki et al. [2, 3 ] for a general theory).”