Recursive path-sum formulas give the survival function and first passage time distribution of the nth surviving coordinate of a Markov process with a killing boundary, applied to Poisson and single-file diffusion models and to nth-to-default CDS pricing.
Bray, Satya N
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A recursive formula for the $n^\text{th}$ survival function and the $n^\text{th}$ first passage time distribution for jump and diffusion processes. Applications to the pricing of $n^\text{th}$-to-default CDS
Recursive path-sum formulas give the survival function and first passage time distribution of the nth surviving coordinate of a Markov process with a killing boundary, applied to Poisson and single-file diffusion models and to nth-to-default CDS pricing.