19 citations · 32 across the 3 of their papers we have counts for
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math.PR2013★ 19 cited
Local solution method for the problem of enlargement of filtration
Shiqi Song
The enlargement of filtration theory is a study of semimartingales when the basic filtration changes. This theory provides particular techniques on stochastic calculus. We present…
math.PR2012★ 8 cited
Drift operator in a market affected by the expansion of information flow : a case study
Shiqi Song
We consider a viable market model. Suppose that new information arrives at the market. We are interested in modeling the market reaction facing to the change of information. In par…
math.PR2009★ 5 cited
Poincaré inequality and exponential integrability of hitting times for linear diffusions
D. Loukianova, O. Loukianov, Sh. Song
Let be a regular linear continuous positively recurrent Markov process with state space , scale function and speed measure . For denote B^+_a&=\sup_{x\geq…