57 citations · 123 across the 21 of their papers we have counts for
21 papers
Multi-dimensional BSDEs whose terminal values are bounded and have bounded Malliavin derivatives
Shiqi Song
We consider a class of multi-dimensional BSDEs on a finite time horizon (containing in particular Lipschitzian-quadratic BSDEs), whose terminal values are bounded as well as their…
Invariance properties in the dynamic gaussian copula model *
Stéphane Crépey, Shiqi Song
We prove that the default times (or any of their minima) in the dynamic Gaussian copula model of Cr{é}pey, Jeanblanc, and Wu (2013) are invariance times in the sense of Cr{é}pey an…
Invariance times
Stéphane Crépey, Shiqi Song
On a probability space we consider two filtrations and a stopping time such that the predi…
From Doob's maximal identity to Azema supermartingale
Shiqi Song
We characterize the random times whose Azema supermartingales take the form for some non negative local martingales starting from 1 vanishing at infinity,…
Construction of multi-default models with full viability
Shiqi Song
We study multi-default model which satisfies the quasi-left-continuity, the martingale representation property, the drift multiplier assumption and the full viability. We use $\nat…
An introduction of the enlargement of filtration
Shiqi Song
It is a working version of a lecture on the theory of enlargement of filtration, given at the African Mathematic School in Marrakech, October 19-23, 2015.