The a-tempered derivative and some spaces of exponential distributions.
Pilipović, Stevan (1983)
Publications de l'Institut Mathématique. Nouvelle Série
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Pilipović, Stevan (1983)
Publications de l'Institut Mathématique. Nouvelle Série
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Zhang, Liang, Zhao, Hai-Feng (2009)
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Anjiao Wang, Zhong Xing Ye (2013)
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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...
Kreulich, Josef (2002)
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Latyshev, A.V., Yushkanov, A.A. (2002)
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Jean-Philippe Rouques (1997)
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Kučera, Jan, McKennon, Kelly (1981)
International Journal of Mathematics and Mathematical Sciences
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Zhang, Youwei (2011)
International Journal of Mathematics and Mathematical Sciences
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Mirakhmedov, Sherzod Mira'zam (2006)
International Journal of Mathematics and Mathematical Sciences
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Wan Soo Rhee (1985)
International Journal of Mathematics and Mathematical Sciences
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José Tiago de Oliveira (1985)
Trabajos de Estadística e Investigación Operativa
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The most general sequence, with Gumbel margins, generated by maxima procedures in an auto-regressive way (one step) is defined constructively and its properties obtained; some remarks for statistical estimation are presented.