Semi-Markov migration process in a stochastic market in credit risk
DOI10.1016/j.laa.2014.02.050zbMath1297.60059OpenAlexW2069196525MaRDI QIDQ2448226
Publication date: 30 April 2014
Published in: Linear Algebra and its Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.laa.2014.02.050
semi-Markov processsurvival probabilitiesasymptotic behaviour and estimationmigration process in credit risk
Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Markov renewal processes, semi-Markov processes (60K15) Continuous-time Markov processes on discrete state spaces (60J27)
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