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oai:repository.dl.itc.u-tokyo.ac.jp:00039951 2022-12-19T04:14:48Z 312:6865:6866:6867 9:504:6868:6869:6870

A Representation Theorem on a Filtering Model with First-Passage-Type Stopping Time Nakashima, Takenobu 92356 415 Information hazard process of default time intensity filtration We present a representation theorem for a filtering model with first-passage-type stopping time. The model is constructed from two unobservable processes and one observable process that is under the influence of two unobservable processes. A filter is constructed using Brownian motion in the observable process and a first-passage-type stopping time in an unobservable process. Though our theorems are similar to those of Nakagawa[5], we do not use pinned Brownian motion measure, which is difficult to deal with. In addition, we describe a representation theorem for another filtration that was not discussed by Nakagawa[5]. departmental bulletin paper Graduate School of Mathematical Sciences, The University of Tokyo 2016-02-25 application/pdf Journal of mathematical sciences, the University of Tokyo 2 23 529 568 AA11021653 13405705 https://repository.dl.itc.u-tokyo.ac.jp/record/39951/files/jms230206.pdf http://hdl.handle.net/2261/72178 https://repository.dl.itc.u-tokyo.ac.jp/records/39951 eng