Joint densities of hitting times for finite state Markov processes

DOI10.3906/mat-1608-29zbMath1424.60088MaRDI QIDQ4634119

Ali Devin Sezer, Tomasz R. Bielecki, Monique Jeanblanc-Picqué

Publication date: 7 May 2019

Published in: TURKISH JOURNAL OF MATHEMATICS (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3906/mat-1608-29

zbMATH Keywords

credit risk modeling; finite state Markov processes; densities of singular parts; generalized multivariate phase-type distributions; multiple first hitting times; simultaneous hitting times

Mathematics Subject Classification ID

60G40: Stopping times; optimal stopping problems; gambling theory

60J27: Continuous-time Markov processes on discrete state spaces

91G40: Credit risk

Related Items

Credit risk in an economy with new firms arrivals

Uses Software

• Octave

Cites Work

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