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math.PR2021
The Martingale Problem Method Revisited
David Criens, Peter Pfaffelhuber, Thorsten Schmidt
We use the abstract method of (local) martingale problems in order to give criteria for convergence of stochastic processes. Extending previous notions, the formulation we use is n…
q-fin.MF2021
Defaultable term structures driven by semimartingales
Sandrine Gümbel, Thorsten Schmidt
We consider a market with a term structure of credit risky bonds in the single-name case. We aim at minimal assumptions extending existing results in this direction: first, the ran…