Credit default prediction and parabolic potential theory

DOI10.1016/j.spl.2017.01.009zbMath1463.91186arXiv1608.08999OpenAlexW2963216528MaRDI QIDQ514127

Michael Hinz, Matteo Ludovico Bedini

Publication date: 28 February 2017

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1608.08999

zbMATH Keywords

Hausdorff dimensiondefault timeBrownian bridge on random intervalspredictable stopping timeRiesz capacity

Mathematics Subject Classification ID

Credit risk (91G40)

Related Items (1)

On the compensator of the default process in an information-based model

Cites Work

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• Brownian motion and thermal capacity
• Parabolic potential theory
• Default and information
• Brownian Bridges on Random Intervals
• Thermal Capacity
• Measures of Hausdorff‐type, and Brownian motion
• Brownian Motion
• Classical potential theory and its probabilistic counterpart.

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