Credit risk with infinite dimensional Lévy processes

DOI10.1524/stnd.2005.23.4.281zbMath1125.60069OpenAlexW2263359119MaRDI QIDQ3595146

Thorsten Schmidt, Fehmi Özkan

Publication date: 10 August 2007

Published in: Statistics & Decisions (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/1af1ef7c86f394d7920c6523f8743354f95167c7

zbMATH Keywords

credit riskratingsLévy random fieldsinfinite dimensional models

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Random fields (60G60) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Applications of functional analysis in probability theory and statistics (46N30) Credit risk (91G40)

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