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20102023
most citedPrecautionary Measures for Credit Risk Management in Jump Models

44 citations · 231 across the 45 of their papers we have counts for

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math.OC2023★ 5 cited

A Jump Ornstein-Uhlenbeck Bridge Based on Energy-optimal Control and Its Self-exciting Extension

Hidekazu Yoshioka, Kazutoshi Yamazaki

We study a version of the Ornstein-Uhlenbeck bridge driven by a spectrally-positive subordinator. Our formulation is based on a Linear-Quadratic control subject to a singular termi…