Principles of smooth and continuous fit in the determination of endogenous bankruptcy levels
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Publication:2463706
DOI10.1007/s00780-006-0028-yzbMath1143.91020OpenAlexW1981866689MaRDI QIDQ2463706
Budhi A. Surya, Andreas E. Kyprianou
Publication date: 16 December 2007
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-006-0028-y
credit riskscale functionsWiener-Hopf factorisationendogenous bankruptcyfluctuation identitycontinuous and smooth pasting principles
Processes with independent increments; Lévy processes (60G51) Mathematical economics (91B99) Spatial models in economics (91B72) Credit risk (91G40)
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- Multidimensional transform inversion with applications to the transient \(M/G/1\) queue
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- Exit problem for a spectrally positive process
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