Time reversal and last passage time of diffusions with applications to credit risk management

DOI10.1007/s00780-020-00423-6zbMath1447.91186arXiv1701.04565OpenAlexW2922144691MaRDI QIDQ784742

Masahiko Egami, Rusudan Kevkhishvili

Publication date: 3 August 2020

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1701.04565

zbMATH Keywords

time reversalrisk management\(h\)-transformlinear diffusionlast passage time

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Credit risk (91G40)

Related Items (2)

\(L^p\) optimal prediction of the last zero of a spectrally negative Lévy process ⋮ Bridging the first and last passage times for Lévy models

Uses Software

• QRM

Cites Work

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