Joint densities of hitting times for finite state Markov processes
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Publication:4634119
DOI10.3906/mat-1608-29zbMath1424.60088MaRDI QIDQ4634119
Tomasz R. Bielecki, Ali Devin Sezer, Monique Jeanblanc-Picqué
Publication date: 7 May 2019
Published in: TURKISH JOURNAL OF MATHEMATICS (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3906/mat-1608-29
credit risk modeling; finite state Markov processes; densities of singular parts; generalized multivariate phase-type distributions; multiple first hitting times; simultaneous hitting times
60G40: Stopping times; optimal stopping problems; gambling theory
60J27: Continuous-time Markov processes on discrete state spaces
91G40: Credit risk
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