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

DOI10.1515/rose-2022-2093OpenAlexW4318455419MaRDI QIDQ2692941

Yamina Khatir, Abdeldjebbar Kandouci, Fatima Benziadi

Publication date: 17 March 2023

Published in: Random Operators and Stochastic Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/rose-2022-2093

zbMATH Keywords

diffeomorphismstochastic differential equationscredit riskstochastic flow

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Sample path properties (60G17) Stochastic calculus of variations and the Malliavin calculus (60H07) Credit risk (91G40)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• On differentiability of stochastic flow for a multidimensional SDE with discontinuous drift
• Random times with given survival probability and their \(\mathbb F\)-martingale decomposition formula
• Stochastic flows of diffeomorphisms for one-dimensional SDE with discontinuous drift
• Continuity modulus of stochastic homeomorphism flows for SDEs with non-Lipschitz coefficients
• Regularity of solutions to differential equations with non-Lipschitz coefficients
• Stochastic flows of SDEs with irregular coefficients and stochastic transport equations
• Differentiability of stochastic flow of reflected Brownian motions
• Isotropic stochastic flows
• Mécanique aléatoire
• Stochastic flows for SDEs with non-Lipschitz coefficient.
• A class of stochastic differential equations with non-Lipschitzian coefficients: Pathwise uniqueness and no explosion
• Modulus of continuity of the canonic Brownian motion ``on the group of diffeomorphisms of the circle
• Stochastic flows of diffeomorphisms on manifolds driven by infinite-dimensional semimartingales with jumps.
• Sample path properties of the stochastic flows.
• Differentiability of stochastic differential equations driven by the \(G\)-Brownian motion
• Sobolev differentiable stochastic flows for SDEs with singular coefficients: applications to the transport equation
• Weak differentiability of solutions to SDEs with semi-monotone drifts
• Homeomorphic flows for multi-dimensional SDEs with non-Lipschitz coefficients
• Homeomorphism flows for non-Lipschitz stochastic differential equations with jumps
• Groups of diffeomorphisms and the motion of an incompressible fluid
• A stochastic flow arising in the study of local times
• Evolution of moments of isotropic Brownian stochastic flows
• Hölder Flow and Differentiability for SDEs with Nonregular Drift
• A generalized formula of Ito and some other properties of stochastic flows
• Wiener processes on manifolds of maps
• Stochastic flows and the C₀-diffusion property
• Stochastic Flows and Jump-Diffusions
• Stochastic flows of diffeomorphisms on an open set in rⁿ
• Duality for coalescing stochastic flows on the real line
• Stability in distribution of forward stochastic flows

This page was built for publication: On the stochastic flow generated by the one default model in one-dimensional case