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Reduction of Markov chains with two-time-scale state transitions
Reduction Markov chain time scale approximation limit behavior
2014/12/5
We consider a general class of two-time-scale Markov chains whose transition rate matrices
depend on a parameterI. We assume that some transition rates of the Markov chain will tend to
infinity as I...
This paper develops a structural credit risk model to characterize the difference between the economic and recorded default times for a firm.