57 citations · 123 across the 21 of their papers we have counts for
17 papers · 1 filter
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…
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.
Drift operator in a viable expansion of information flow
Shiqi Song
A triplet of a probability measure , of an information flow , and of an adapted…
Martingale representation processes and applications in the market viability with information flow expansion
Shiqi Song
When the \textit{martingale representation property} holds, we call any local martingale which realizes the representation a \textit{representation process}. There are two properti…