Killed Brownian motion with a prescribed lifetime distribution and models of default

DOI10.1214/12-AAP902zbMath1328.60188arXiv1111.2976OpenAlexW2030100456MaRDI QIDQ2443183

Steven N. Evans, Boris Ettinger, Alexandru Hening

Publication date: 4 April 2014

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1111.2976

zbMATH Keywords

Feynman-Kac formulacredit riskCox processinverse first passage time problemstochastic intensitykilled Brownian motion

Mathematics Subject Classification ID

Brownian motion (60J65) Financial applications of other theories (91G80) Credit risk (91G40)

Related Items

The inverse first passage time problem for killed Brownian motion ⋮ An elementary approach to the inverse first-passage-time problem for soft-killed Brownian motion ⋮ Explicit solution of an inverse first-passage time problem for Lévy processes and counterparty credit risk

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