Application of nonlinear filtering to credit risk

Vivek S. Borkar, Mrinal K. Ghosh, G. Rangarajan. Application of nonlinear filtering to credit risk. Oper. Res. Lett., 38(6):527-532, 2010. [doi]

Authors

Vivek S. Borkar

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Mrinal K. Ghosh

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G. Rangarajan

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