Conditional characteristic functions of Molchan-Golosov fractional Lévy processes with application to credit risk
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conditional characteristic functionfractional Brownian motionfractional Lévy processlong-range dependencemacroeconomic variables processprediction
Ordinary differential equations and systems with randomness (34F05) Stationary stochastic processes (60G10) Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integral equations (60H20) Interest rates, asset pricing, etc. (stochastic models) (91G30) Credit risk (91G40) Numerical methods (including Monte Carlo methods) (91G60)
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Cites work
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Cited in
(7)- Fractional Lévy Cox-Ingersoll-Ross and Jacobi processes
- Least squares estimator for stochastic differential equations driven by small fractional Lévy noises from discrete observations
- Maximal inequalities for fractional Lévy and related processes
- Conditional distributions of Mandelbrot-Van Ness fractional Lévy processes and continuous-time ARMA-GARCH-type models with long memory
- Conditional distributions of processes related to fractional Brownian motion
- Fractional calculus and pathwise integration for Volterra processes driven by Lévy and martingale noise
- Stochastic mortality model with respect to mixed fractional Poisson process: calibration and empirical analysis of long-range dependence in actuarial valuation
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