Conditional Characteristic Functions of Molchan-Golosov Fractional Lévy Processes with Application to Credit Risk
DOI10.1239/jap/1389370095zbMath1294.60070MaRDI QIDQ5407022
Publication date: 4 April 2014
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.jap/1389370095
prediction; fractional Brownian motion; long-range dependence; conditional characteristic function; fractional Lévy process; macroeconomic variables process
60G51: Processes with independent increments; Lévy processes
60G15: Gaussian processes
91G60: Numerical methods (including Monte Carlo methods)
60G22: Fractional processes, including fractional Brownian motion
60G10: Stationary stochastic processes
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
91G30: Interest rates, asset pricing, etc. (stochastic models)
34F05: Ordinary differential equations and systems with randomness
60H20: Stochastic integral equations
91G40: Credit risk
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