Transition Probability of Brownian Motion in the Octant and its Application to Default Modelling-Reference-Cited by-同舟云学术

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Transition Probability of Brownian Motion in the Octant and its Application to Default Modelling

Published:2018-06-18 Issue:5-6 Volume:25 Page:434-465
ISSN:1350-486X
Container-title:Applied Mathematical Finance
language:en
Short-container-title:Applied Mathematical Finance

Author:

Kaushansky Vadim¹,Lipton Alexander²³,Reisinger Christoph⁴

Affiliation:

1. Mathematical Institute & Oxford-Man Institute, University of Oxford, UK

2. Connection Science, Massachusetts Institute of Technology, Cambridge, MA, USA

3. Financial Engineering, École Polytechnique F´ed´erale de Lausanne, Lausanne, Switzerland

4. Mathematical Institute & Oxford-Man Institute, University of Oxford, Oxford, UK

Publisher

Informa UK Limited

Subject

Applied Mathematics,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/1350486X.2018.1481439

Reference28 articles.

1. An integral method for solving nonlinear eigenvalue problems

2. VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS

3. Fast linear algebra is stable

Cited by 2 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Simulation of reflected Brownian motion on two dimensional wedges;Stochastic Processes and their Applications;2023-02

2. Semi-analytical solution of a McKean–Vlasov equation with feedback through hitting a boundary;European Journal of Applied Mathematics;2019-12-16

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