The Markov consistency of Archimedean survival processes

DOI10.1017/jpr.2016.8zbMath1343.60111OpenAlexW2470415718MaRDI QIDQ3188571

A. Pytel, Jacek Jakubowski

Publication date: 11 August 2016

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

Full work available at URL: https://projecteuclid.org/euclid.jap/1466172862

zbMATH Keywords

profitabilityArchimedean survival processgamma random bridgeMarkovian consistency

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Financial applications of other theories (91G80)

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A Note on Independence Copula for Conditional Markov Chains, Generalised liouville processes and their properties, Conditional Markov chains: properties, construction and structured dependence

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