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Results tagged with pr.probability
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user 111824
Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory.
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Ito's formula for jump diffusions
Suppose I have $dP_t^i = (r^i + h_i^{\mathbb{P}})P_t^i dt - P_{t-}^i dH_t^i$ where $H_i(t) = \mathbb{1}_{\tau_t \leq t}$ denotes a default indicator process of i. $\tau_i$ is the default time and $h_i …
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