Stopping Times Occurring Simultaneously
Published in arXiv, 2022
Recommended citation: Protter, P., Quintos, A. Stopping Times Occurring Simultaneously. (2022). https://arxiv.org/abs/2111.09458
Stopping times are used in applications to model random arrivals. A standard assumption in many models is that the stopping times 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 & 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 indicate applications to modeling Covid-19 contagion (and epidemics in general), civil engineering, and to credit risk.