Explicit solution of an inverse first-passage time problem for Lévy processes and counterparty credit risk

DOI10.1214/14-AAP1051zbMath1325.60071arXiv1306.2719OpenAlexW1544292250MaRDI QIDQ748309

Martijn R. Pistorius, Mark H. A. Davis

Publication date: 20 October 2015

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

Full work available at URL: https://arxiv.org/abs/1306.2719

zbMATH Keywords

Lévy processescounterparty credit riskinverse first-passage time problemmulti-variate first-passage timesquasi-invariant distribution

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Financial applications of other theories (91G80) Credit risk (91G40)

Related Items (2)

The inverse first passage time problem for killed Brownian motion ⋮ Killed Brownian motion with a prescribed lifetime distribution and models of default

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