Smooth-pasting property on reflected Lévy processes and its applications in credit risk modeling
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Publication:477067
DOI10.1007/s11425-014-4802-6zbMath1307.60056OpenAlexW1973577318MaRDI QIDQ477067
Publication date: 2 December 2014
Published in: Science China. Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11425-014-4802-6
Processes with independent increments; Lévy processes (60G51) Diffusion processes (60J60) Financial applications of other theories (91G80) Applications of renewal theory (reliability, demand theory, etc.) (60K10) Credit risk (91G40)
Cites Work
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