On the stochastic flow generated by the one default model in one-dimensional case

被引：1

作者：

Khatir, Yamina ^{[1
]}

Benziadi, Fatima ^{[1
]}

Kandouci, Abdeldjebbar ^{[1
]}

机构：

[1] Univ Saida, Dept Math, POB 138 En Nasr, Saida 20000, Algeria

来源：

RANDOM OPERATORS AND STOCHASTIC EQUATIONS | 2023年 / 31卷 / 01期

关键词：

Credit risk; stochastic flow; stochastic differential equations; diffeomorphism; DIFFERENTIAL-EQUATIONS; HOMEOMORPHISM FLOWS; SDES; DIFFEOMORPHISMS; COEFFICIENTS; CONTINUITY; MANIFOLDS; MODULUS; DRIVEN; MOTION;

D O I：

10.1515/rose-2022-2093

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this paper, we will study an important property on the regularity of the trajectories of the stochastic flow generated by a famous model in finance. More precisely, we prove the differentiability with respect to initial data of the solution of the stochastic differential equation associated with this model based on Gronwall's lemma, Ito's isometry and Burkholder-Davis-Gundy's and Holder's inequalities. This is the main motivation of our research.

引用

页码：9 / 23

页数：15

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