Closed-form formulas for the distribution of the jumps of doubly-stochastic Poisson processes

DOI10.1214/19-ECP221zbMath1412.60060arXiv1701.00717MaRDI QIDQ2631807

Arturo Valdivia

Publication date: 16 May 2019

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1701.00717

zbMATH Keywords

Malliavin calculusBell polynomialscredit riskhazard processdoubly-stochastic Poisson processintegrated non-Gaussian OU process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Fractional processes, including fractional Brownian motion (60G22) Stochastic calculus of variations and the Malliavin calculus (60H07) Credit risk (91G40)

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