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• W2073477519 abstract "Molchan-Golosov fractional Lévy processes (MG-FLPs) are introduced by way of a multivariate componentwise Molchan-Golosov transformation based on an n -dimensional driving Lévy process. Using results of fractional calculus and infinitely divisible distributions, we are able to calculate the conditional characteristic function of integrals driven by MG-FLPs. This leads to important predictions concerning multivariate fractional Brownian motion, fractional subordinators, and general fractional stochastic differential equations. Examples are the fractional Lévy Ornstein-Uhlenbeck and Cox-Ingersoll-Ross models. As an application we present a fractional credit model with a long range dependent hazard rate and calculate bond prices." @default.
• W2073477519 created "2016-06-24" @default.
• W2073477519 creator A5070180183 @default.
• W2073477519 date "2013-12-01" @default.
• W2073477519 modified "2023-10-18" @default.
• W2073477519 title "Conditional Characteristic Functions of Molchan-Golosov Fractional Lévy Processes with Application to Credit Risk" @default.
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• W2073477519 doi "https://doi.org/10.1239/jap/1389370095" @default.
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