Conditional Characteristic Functions of Molchan-Golosov Fractional Lévy Processes with Application to Credit Risk

DOI10.1239/jap/1389370095zbMath1294.60070OpenAlexW2073477519MaRDI QIDQ5407022

Holger Fink

Publication date: 4 April 2014

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.jap/1389370095

zbMATH Keywords

predictionfractional Brownian motionlong-range dependenceconditional characteristic functionfractional Lévy processmacroeconomic variables process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Gaussian processes (60G15) Numerical methods (including Monte Carlo methods) (91G60) Fractional processes, including fractional Brownian motion (60G22) Stationary stochastic processes (60G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Interest rates, asset pricing, etc. (stochastic models) (91G30) Ordinary differential equations and systems with randomness (34F05) Stochastic integral equations (60H20) Credit risk (91G40)

Related Items (5)

Maximal Inequalities for Fractional Lévy and Related Processes ⋮ Conditional Distributions of Mandelbrot–van ness Fractional LÉVY Processes and Continuous‐Time ARMA–GARCH‐Type Models with Long Memory ⋮ Fractional Lévy Cox-Ingersoll-Ross and Jacobi processes ⋮ Fractional calculus and pathwise integration for Volterra processes driven by Lévy and martingale noise ⋮ Least squares estimator for stochastic differential equations driven by small fractional Lévy noises from discrete observations

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