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DOI: 10.5445/IR/1000033050

Dependence Properties of exit times with applications to risk management

Bäuerle, N.; Manger, A.

Abstract:
We investigate the dependence structure of d-dimensional Itˆo processes which are not necessarily time-homogeneous. Sufficient conditions are given which imply that the processes are associated, i.e. show a certain kind of positive dependence. We also prove that associated processes have associated hitting times. Some applications in risk management are given.


Zugehörige Institution(en) am KIT Institut für Stochastik (STOCH)
Publikationstyp Zeitschriftenaufsatz
Jahr 2010
Sprache Englisch
Identifikator ISSN: 1813-713X
URN: urn:nbn:de:swb:90-330501
KITopen-ID: 1000033050
Erschienen in International Journal of Operations Research : IJOR
Band 7
Heft 4
Seiten 33-39
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