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

DOI10.1214/19-ECP221MaRDI QIDQ2631807zbMATH OpenFDO

Authors 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, https://projecteuclid.org/euclid.ecp/1553133702

zbMATH Keywords

Malliavin calculuscredit riskBell polynomialshazard processdoubly-stochastic Poisson processintegrated non-Gaussian OU process

Mathematics Subject Classification ID

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

Abstract: We study the obtainment of closed-form formulas for the distribution of the jumps of a doubly-stochastic Poisson process. The problem is approached in two ways. On the one hand, we translate the problem to the computation of multiple derivatives of the Hazard process cumulant generating function; this leads to a closed-form formula written in terms of Bell polynomials. On the other hand, for Hazard processes driven by L'evy processes, we use Malliavin calculus in order to express the aforementioned distributions in an appealing recursive manner. We outline the potential application of these results in credit risk.

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Cites work

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• Canonical Lévy process and Malliavin calculus
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Cited in

(1)

• scientific article; zbMATH DE number 2140693 (Why is no real title available?)

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