Finding Generators for Markov Chains via Empirical Transition Matrices, with Applications to Credit Ratings

DOI10.1111/1467-9965.00114zbMath0987.60086OpenAlexW2148474709MaRDI QIDQ160231

Robert B. Israel, Jason Z. Wei, Robert B. Israel, Jason Wei, Jeffrey S. Rosenthal

Publication date: April 2001

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9965.00114

zbMATH Keywords

generatorMarkov chainstransition matrixcredit rating

Mathematics Subject Classification ID

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