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20082026
most citedStochastic filtering via L2 projection on mixture manifolds with computer algorithms and numerical examples

26 citations · 157 across the 57 of their papers we have counts for

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Showing 2012 · math.PRShow all

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math.PR2012

Consistent single- and multi-step sampling of multivariate arrival times: A characterization of self-chaining copulas

Damiano Brigo, Kyriakos Chourdakis

This paper deals with dependence across marginally exponentially distributed arrival times, such as default times in financial modeling or inter-failure times in reliability theory…