2 papers
math.PR2016
Unexpected Default in an Information Based Model
Matteo Ludovico Bedini, Rainer Buckdahn, Hans-Jürgen Engelbert
This paper provides sufficient conditions for the time of bankruptcy (of a company or a state) for being a totally inaccessible stopping time and provides the explicit computation…
math.PR2012
A Note on One-dimensional Stochastic Differential Equations with Generalized Drift
Stefan Blei, Hans-Jürgen Engelbert
We consider one-dimensional stochastic differential equations with generalized drift which involve the local time of the solution process: X_t = X_0 + \int_0^t b(X_s) dB_s +…