Progressive enlargement of filtrations and backward stochastic differential equations with jumps

DOI10.1007/s10959-012-0428-1zbMath1319.60126arXiv1101.2815OpenAlexW2169853877MaRDI QIDQ471510

Idris Kharroubi, Thomas Lim

Publication date: 17 November 2014

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1101.2815

zbMATH Keywords

incomplete marketbackward stochastic differential equationsEuropean optionprogressive enlargement of filtrationsexponential utilityasset price with jumpscounterparty credit riskrandom marked times

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Random measures (60G57) Credit risk (91G40)

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