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Intensity process for a pure jump Levy structural model with incomplete information
File(s)
spa_revision.pdf (329.44 KB)
Accepted version
Author(s)
Dong, X
Zheng, H
Type
Journal Article
Date Issued
2015-04-01
Date Acceptance
2014-10-18
Citation
Stochastic Processes and Their Applications, 2015, 125 (4), pp.1307-1322
URI
DOI
ISSN
0304-4149
Publisher
Elsevier
Start Page
1307
End Page
1322
Journal / Book Title
Stochastic Processes and Their Applications
Volume
125
Issue
4
Copyright Statement
© 2015, Elsevier. Licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International http://creativecommons.org/licenses/by-nc-nd/4.0/
License URL
Subjects
Science & Technology
Physical Sciences
Statistics & Probability
Mathematics
Pure jump Levy process
Unobservable random barrier
First passage time
Path-dependent intensity process
CREDIT RISK
COMPENSATOR
THEOREM
Publication Status
Published