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On absolutely continuous compensators and nonlinear filtering equations in default risk models
Azema supermartingale default indicator absolutely continuous compensators pricing of default risk nonlinear filtering
2012/6/5
We discuss the pricing of defaultable assets in an incomplete information model where the default time is given by a first hitting time of an unobservable process. We show that in a fairly general Mar...
Time dependent Malliavin calculus on manifolds and application to nonlinear filtering
Time dependent Malliavin calculus application to nonlinear filtering
2009/9/22
In this paper, we prove, using Malliavin calculus, that
under a global Hormander condition the law of a Riemannian manifold
valued stochastic process, a solution of a stochastic differential
equati...