On the exact solution of a generalized Pólya process.

Konno, Hidetoshi

Displaying similar documents to “On the exact solution of a generalized Pólya process.”

Explicit solutions of some fractional partial differential equations via stable subordinators.

Debbi, Latifa (2006)

Journal of Applied Mathematics and Stochastic Analysis

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Introducing randomness into first-order and second-order deterministic differential equations.

Moxnes, John F., Hausken, Kjell (2010)

Advances in Mathematical Physics

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The pricing of credit risky securities under stochastic interest rate model with default correlation

Anjiao Wang, Zhong Xing Ye (2013)

Applications of Mathematics

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In this paper, we study the pricing of credit risky securities under a three-firms contagion model. The interacting default intensities not only depend on the defaults of other firms in the system, but also depend on the default-free interest rate which follows jump diffusion stochastic differential equation, which extends the previous three-firms models (see R. A. Jarrow and F. Yu (2001), S. Y. Leung and Y. K. Kwok (2005), A. Wang and Z. Ye (2011)). By using the method of change of...