Joint densities of hitting times for finite state Markov processes

DOI10.3906/mat-1608-29zbMath1424.60088OpenAlexW2734585807WikidataQ130069414 ScholiaQ130069414MaRDI QIDQ4634119

Ali Devin Sezer, Tomasz R. Bielecki, Monique Jeanblanc-Picqué

Publication date: 7 May 2019

Published in: TURKISH JOURNAL OF MATHEMATICS (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3906/mat-1608-29

zbMATH Keywords

credit risk modelingfinite state Markov processesdensities of singular partsgeneralized multivariate phase-type distributionsmultiple first hitting timessimultaneous hitting times

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Continuous-time Markov processes on discrete state spaces (60J27) Credit risk (91G40)

Related Items (1)

Credit risk in an economy with new firms arrivals

Uses Software

• Octave

Cites Work

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