Time-dynamic evaluations under non-monotone information generated by marked point processes
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DOI: 10.1007/s00780-021-00456-5
Abstract: The information dynamics in finance and insurance applications is usually modelled by a filtration. This paper looks at situations where information restrictions apply so that the information dynamics may become non-monotone. A fundamental tool for… read more here.
Keywords: finance; generated marked; information generated; non monotone ... See more keywords