A recursive method for fractional Hawkes intensities and the potential approach of credit risk

DOI10.1016/J.CAM.2024.115895zbMATH Open1545.91317MaRDI QIDQ6569141FDOQ6569141

Authors: John-John Ketelbuters, Donatien Hainaut 

Publication date: 8 July 2024

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

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zbMATH Keywords

credit riskpotential approachfractional Hawkes processes

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Credit risk (91G40)

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