THE HOMEOMORPHIC PROPERTY OF THE STOCHASTIC FLOW GENERATED BYTHE ONE-DEFAULT MODEL IN ONE DIMENSIONAL CASE

Fatima Benziadi

DOI Number
https://doi.org/10.22190/FUMI200403037B
First page
501
Last page
518

Abstract


In this paper, we will try to study the same result proved in \cite{10}. So, on the same model and with some assumptions, we will study the property of homeomorphism of the stochastic flow generated by the natural model in a one-dimensional case and with some modifications, based on an important theory of Hiroshi Kunita. This is the main motivation of our research.

Keywords

Credit risk, Stochastic flow, Stochastic differential geometry, Diffeomorphism.

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References


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DOI: https://doi.org/10.22190/FUMI200403037B

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