Modeling of the Defaultable Term Structure: Conditionally Markov Approach

DOI10.1109/TAC.2004.824480zbMath1366.91159MaRDI QIDQ5273708

Tomasz R. Bielecki, Marek Rutkowski

Publication date: 12 July 2017

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Markov and semi-Markov decision processes (90C40) Continuous-time Markov processes on discrete state spaces (60J27) Credit risk (91G40)

Related Items (4)

Conditional Markov chains: properties, construction and structured dependence ⋮ The Defaultable Lévy Term Structure: Ratings and Restructuring ⋮ RATING BASED LÉVY LIBOR MODEL ⋮ REAL OPTIONS WITH PRICED REGIME-SWITCHING RISK

This page was built for publication: Modeling of the Defaultable Term Structure: Conditionally Markov Approach