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branching diffusions
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Counterparty risk valuation
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Galton-Watson tree
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branching processes
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diffusion processes
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Henry-Labordere, Pierre
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Statistical Inference for Stochastic Processes
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Counterparty Risk Valuation: A Marked Branching Diffusion Approach
Henry-Labordere, Pierre
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HAL
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2012
branching
diffusions
describing a Galton-Watson random tree. Such an algorithm leads at the same time to a computation of the …
Persistent link: https://www.econbiz.de/10009654254
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Likelihood Ratio Processes for Markovian Particle Systems with Killing and Jumps
Löcherbach, E.
- In:
Statistical Inference for Stochastic Processes
5
(
2002
)
2
,
pp. 153-177
Persistent link: https://www.econbiz.de/10005391484
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