Smooth-pasting property on reflected Levy processes and its applications in credit risk modeling

• 作 者: BO LiJun YANG XueWei
• 机 构: DepartmentofMathematics,SchoolofManagementandEngineering
• 出 处: 中国科学：数学英文版
• 发表日期: 2014年6期
• 关键词: LÉVY过程 糊化特性 信用风险 平滑 应用 建模 LEVY过程 条件期望 smooth-pasting property reflected Le
• 基金项目: Acknowledgements This work was supported by National Natural Science Foundation of China （Grant Nos. 11001213, 71201074 and 70932003）, NCET-12-0914 and the Fundamental Research Funds for the Central U

We study the smooth-pasting property for a class of conditional expectations with reflected Lévy process as underlying state process.A relationship between local times and regulators for the doubly reflected Lévy process is established.As applic