A recursive method for fractional Hawkes intensities and the potential approach of credit risk

DOI10.1016/j.cam.2024.115895zbMath1545.91317MaRDI QIDQ6569141

John-John Ketelbuters, Donatien Hainaut

Publication date: 8 July 2024

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

zbMATH Keywords

credit riskpotential approachfractional Hawkes processes

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Credit risk (91G40)

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