KILLED BROWNIAN MOTION WITH A PRESCRIBED LIFETIME DISTRIBUTION AND MODELS OF DEFAULT Academic Article

authors

• Hening, Alexandru

published proceedings

• ANNALS OF APPLIED PROBABILITY

altmetric score

• 0.25

author list (cited authors)

• Ettinger, B., Evans, S. N., & Hening, A.

citation count

• 4

complete list of authors

• Ettinger, Boris||Evans, Steven N||Hening, Alexandru

publication date

• February 2014

publisher

• Institute of Mathematical Statistics  Publisher

published in

• Annals of Applied Probability  Journal

keywords

• Cox Process
• Credit Risk
• Feynman-kac Formula
• Inverse First Passage Time Problem
• Killed Brownian Motion
• Stochastic Intensity

Digital Object Identifier (DOI)

• 10.1214/12-AAP902

start page

• 1

end page

• 33

volume

• 24

issue

• 1

URL

• http://dx.doi.org/10.1214/12-aap902