Abstract
In this chapter, the problem of a quasi-explicit evaluation of various conditional expectations is studied in the case when the only filtration available in calculations is the natural filtration of a random time. At the intuitive level, we consider here an individual who is able to observe a certain random time τ, but has no access to any other information. A detailed analysis of a more interesting and practically more relevant case — when an additional flow of information is also available — is postponed to the next chapter.
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© 2004 Springer-Verlag Berlin Heidelberg
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Bielecki, T.R., Rutkowski, M. (2004). Hazard Function of a Random Time. In: Credit Risk: Modeling, Valuation and Hedging. Springer Finance. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-662-04821-4_4
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DOI: https://doi.org/10.1007/978-3-662-04821-4_4
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-642-08707-3
Online ISBN: 978-3-662-04821-4
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