Time reversal and last passage time of diffusions with applications to credit risk management
Year of publication: |
2020
|
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Authors: | Egami, Masahiko ; Kevkhishvili, Rusudan |
Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 24.2020, 3, p. 795-825
|
Subject: | Time reversal | Linear diffusion | Last passage time | h-transform | Risk management | Theorie | Theory | Risikomanagement | Zeit | Time | Kreditrisiko | Credit risk | Stochastischer Prozess | Stochastic process | Portfolio-Management | Portfolio selection |
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