Local and Occupation Time of a Time Elapsed Process of Brownian Motion


We consider a renewal process Ut, defined as the time elapsed since the last zero of BM. Within the framework of a piecewise-deterministic Markov process involving Ut, where we assume the jump arrivals are driven by a general... [ view full abstract ]


  1. Xiaolin Zhu (London School of Economics and Political Science)
  2. Angelos Dassios (London School of Economics and Political Science)

Topic Areas

Credit Risk , Jump-Diffusions , Simulation


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