On correlated defaults and incomplete information

In this paper, we study a continuous time structural asset value model for two correlated firms using two-dimensional Brownian motion. We consider the situation of incomplete information, where information set available to market participants includes default each firm and periodic reports. In situation, becomes totally inaccessible stopping participants. The original is first transformed reduced-form model. Then conditional distribution together with name are derived. prove existence intensity processes times also give explicit form processes. Numerical studies on intensities names conducted some special cases.