Transition probability of Brownian motion in the octant and its application to default modelling
Vadim Kaushansky, Alexander Lipton and Christoph Reisinger
| Year of publication: |
2018
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|---|---|
| Authors: | Kaushansky, Vadim ; Lipton, Alexander ; Reisinger, Christoph |
| Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 25.2018, 5/6, p. 434-465
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| Subject: | nonlinear eigenvalue problem | structural default modelmutual liabilities | Three-dimensional Brownian motion | transition probability | Theorie | Theory | Stochastischer Prozess | Stochastic process | Wahrscheinlichkeitsrechnung | Probability theory | Insolvenz | Insolvency | Kreditrisiko | Credit risk | Prognoseverfahren | Forecasting model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1350486X.2018.1481439 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012129173