Conditional Characteristic Functions of Molchan-Golosov Fractional Lévy Processes with Application to Credit Risk

DOI10.1239/jap/1389370095zbMath1294.60070MaRDI QIDQ5407022

Holger Fink

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

zbMATH Keywords

prediction; fractional Brownian motion; long-range dependence; conditional characteristic function; fractional Lévy process; macroeconomic variables process

Mathematics Subject Classification ID

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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