Numerical Study on the Systems of Nonlinear Ordinary Differential Equations for Default Risk Model

摘要：

We deal with the systems of ordinary differential equations (OOEs), which nonlinearly extend a looping default model of defaultable firms. Unknown functions are defined through a weighted integral of the tail distribution functions of the first jump time. We perform numerical study on these systems, especially on the blowing-up behavior of solutions, and consider the meaning of our results in financial economics.

关键词： looping default risk model systems of nonlinear ordinary differential equations numerical study of blowing-up behavior

作者: Manabu INOUE Naoyuki ISHIMURA MasaAki NAKAMURA

作者单位: College of Science and Technology,Nihon University,Tokyo 101-8308,Japan Graduate School of Economics,Hitotsubashi University,Tokyo 186-8601,Japan

会议类型: 国际会议

会议名称: 2010 IEEE 17th International Conference on Industrial Engineering and Engineering Management(2010年IEEE第17届工业工程与工程管理国际学术会议)

会议地点: 厦门

会议语种:英文

页码: 1066-1069

在线出版日期: 2010-10-29（万方平台首次上网日期，不代表论文的发表时间）