KILLED BROWNIAN MOTION WITH A PRESCRIBED LIFETIME DISTRIBUTION AND MODELS OF DEFAULT
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Overview
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ANNALS OF APPLIED PROBABILITY
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author list (cited authors)
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Ettinger, B., Evans, S. N., & Hening, A.
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Ettinger, Boris||Evans, Steven N||Hening, Alexandru
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Cox Process
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Credit Risk
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Feynman-kac Formula
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Inverse First Passage Time Problem
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Killed Brownian Motion
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Stochastic Intensity
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URL
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http://dx.doi.org/10.1214/12-aap902