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

supported by the European Community's FP 7 Program under contract PITN-GA-2008-213841, and Marie Curie ITN 《 Controlled Systems 》.
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  • 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.


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