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Phase transition in a log-normal Markov functional model
Phase transition log-normal Markov functional model
2010/10/21
We derive the exact solution of a one-dimensional Markov functional model with log-normally distributed interest rates in discrete time. The model is shown to have two distinct limiting states, corres...
Collective firm bankruptcies and phase transition in rating dynamics
Collective firm bankruptcies rating dynamics
2010/11/1
We present a simple model of firm rating evolution. We consider two sources of defaults: individual dynamics of economic development and Potts-like interactions between firms. We show that such a defi...