On the stochastic flow generated by the one default model in one-dimensional case-Reference-Cited by-同舟云学术

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

Published:2023-01-30 Issue:1 Volume:31 Page:9-23
ISSN:0926-6364
Container-title:Random Operators and Stochastic Equations
language:en
Short-container-title:

Author:

Khatir Yamina¹,Benziadi Fatima¹,Kandouci Abdeldjebbar¹

Affiliation:

1. Department of Mathematics , University of Saida , Dr. Moulay Tahar, PO. Box 138 En-Nasr, 20000 Saida , Algeria

Abstract

Abstract 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, Itô’s isometry and Burkholder–Davis–Gundy’s and Hölder’s inequalities. This is the main motivation of our research.

Publisher

Walter de Gruyter GmbH

Subject

Statistics and Probability,Analysis

Link

https://www.degruyter.com/document/doi/10.1515/rose-2022-2093/pdf

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