Smooth-pasting property on reflected Lévy processes and its applications in credit risk modeling

DOI10.1007/S11425-014-4802-6MaRDI QIDQ477067zbMATH OpenOpenAlexFDO

Authors Xuewei Yang, Lijun Bo

Publication date 2 December 2014

Published in Science China. Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11425-014-4802-6

zbMATH Keywords

credit riskdefaultable bondsmooth-pasting propertystochastic loss ratereflected Lévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Diffusion processes (60J60) Applications of renewal theory (reliability, demand theory, etc.) (60K10) Credit risk (91G40) Financial applications of other theories (91G80)

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Cites work

• scientific article; zbMATH DE number 4078444 (Why is no real title available?)
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• Affine processes and applications in finance
• Comparison of sequence accelerators for the Gaver method of numerical Laplace transform inversion
• Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options
• Hedging of a credit default swaption in the CIR default intensity model
• Loss Rates for Lévy Processes with Two Reflecting Barriers
• Lévy risk model with two-sided jumps and a barrier dividend strategy
• On the conditional default probability in a regulated market with jump risk
• On the conditional default probability in a regulated market: a structural approach
• On the optimal dividend problem for a spectrally negative Lévy process
• Properties of the reflected Ornstein-Uhlenbeck process
• Some integral functionals of reflected SDEs and their applications in finance
• Term Structures of Credit Spreads with Incomplete Accounting Information
• The Markov modulated regulated Brownian motion: A second-order fluid flow model of a finite buffer
• Transient behavior of regulated Brownian motion, I: Starting at the origin
• Volterra integral and differential equations

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