65 citations · 131 across the 17 of their papers we have counts for
15 papers · 1 filter
Markov Process Jump Times and Their Cox Construction
Philip Protter, Andrés Riveros Valdevenito
In this short paper, we connect the procedure of constructing a totally inaccessible stopping time for a given process using the well-known Cox construction, dependent on an indepe…
Stopping Times Occurring Simultaneously
Philip Protter, Alejandra Quintos
Stopping times are used in applications to model random arrivals. A standard assumption in many models is that they are conditionally independent, given an underlying filtration. T…
Credit Valuation Adjustment in Credit Risk with Simultaneous Defaults Possibility
Aditi Dandapani, Philip Protter
In a series of recent papers, Damiano Brigo, Andrea Pallavicini, and co-authors have shown that the value of a contract in a Credit Valuation Adjustment (CVA) setting, being the su…
Expansion of a filtration with a stochastic process: the information drift
Léo Neufcourt, Philip Protter
When expanding a filtration with a stochastic process it is easily possible for semimartingale no longer to remain semimartingales in the enlarged filtration. Y. Kchia and P. Prott…
Asymptotic error distribution for the Euler scheme with locally Lipschitz coefficients
Philip Protter, Lisha Qiu, Jaime San Martin
In traditional work on numerical schemes for solving stochastic differential equations (SDEs), it is usually assumed that the coefficients are globally Lipschitz. This assumption h…
Strict Local Martingales via Filtration Enlargement
Aditi Dandapani, Philip Protter
A strict local martingale is a local martingale that is not a martingale. We investigate how such a process might arise from a true martingale as a result of an enlargement of the…