We found a match
Your institution may have access to this item. Find your institution then sign in to continue.
- Title
Stopping times occurring simultaneously.
- Authors
Protter, Philip; Quintos, Alejandra
- Abstract
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. This is a widely useful assumption, but there are circumstances where it seems to be unnecessarily strong. We use a modified Cox construction along with the bivariate exponential introduced by Marshall and Olkin (1967) to create a family of stopping times, which are not necessarily conditionally independent, allowing for a positive probability for them to be equal. We show that our initial construction only allows for positive dependence between stopping times, but we also propose a joint distribution that allows for negative dependence while preserving the property of non-zero probability of equality. We indicate applications to modeling COVID-19 contagion (and epidemics in general), civil engineering, and to credit risk.
- Subjects
CREDIT risk; STOCHASTIC processes; CIVIL engineers; TIME management; CIVIL engineering
- Publication
ESAIM: Probability & Statistics, 2024, Vol 28, p110
- ISSN
1292-8100
- Publication type
Academic Journal
- DOI
10.1051/ps/2024001