Asymptotic behaviour of the survival probabilities in an inhomogeneous semi-Markov model for the migration process in credit risk
DOI10.1016/j.laa.2012.11.035zbMath1282.91363OpenAlexW2086212982MaRDI QIDQ1940089
P.-C. G. Vassiliou, Aglaia Vasileiou
Publication date: 5 March 2013
Published in: Linear Algebra and its Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.laa.2012.11.035
Markov processes: estimation; hidden Markov models (62M05) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Markov renewal processes, semi-Markov processes (60K15) Credit risk (91G40)
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Cites Work
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