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  5. Optimal Stopping with Omega Default under Spectrally Negative Levy Model

Optimal Stopping with Omega Default under Spectrally Negative Levy Model

来源 :第八届工业与应用数学国际大会 | 被引量 : 0次 | 上传用户：zht20090907
【摘 要】
：
　　The Omega default model models the default as the first time when the occupation time over some domain exceeds an independent exponential random variable wi
【作 者】
：
Rodosthenous Neofytos Zhang Hongzhong 
【机 构】
：
Queen Mary,Univ.of London
【出 处】
：
第八届工业与应用数学国际大会
【发表日期】
：
2015年期
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论文部分内容阅读
　　The Omega default model models the default as the first time when the occupation time over some domain exceeds an independent exponential random variable with unit mean.
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