BSDEs and Enlargement of Filtration
From MaRDI portal
Publication:5038296
DOI10.1007/978-3-030-22285-7_7zbMath1498.60217OpenAlexW2970745256MaRDI QIDQ5038296
Dongli Wu, Monique Jeanblanc-Picqué
Publication date: 30 September 2022
Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-030-22285-7_7
Brownian motionprojectionenlargement of filtrationPoisson random measureBSDEabsolute continuity Jacod's hypothesis
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Backward stochastic differential equations with jumps and their actuarial and financial applications. BSDEs with jumps
- Martingale representation property in progressively enlarged filtrations
- Adapted solution of a backward stochastic differential equation
- Density analysis of non-Markovian BSDEs and applications to biology and finance
- The strong predictable representation property in initially enlarged filtrations under the density hypothesis
- Backward stochastic differential equations with jumps and related nonlinear expectations
- Semi-martingales et grossissement d'une filtration
- Progressive enlargement of filtrations with initial times
- BSDEs with jumps, optimization and applications to dynamic risk measures
- The Shannon information of filtrations and the additional logarithmic utility of insiders
- Backward stochastic differential equations with enlarged filtration: Option hedging of an insider trader in a financial market with jumps
- Utility maximization in incomplete markets
- Pricing Via Utility Maximization and Entropy
- BSDEs with monotone generator driven by Brownian and Poisson noises in a general filtration
- Nouveaux résultats sur le grossissement des tribus
- Changes of filtrations and of probability measures
- Enlargement of Filtration with Finance in View
- Backward Stochastic Differential Equations in Finance
This page was built for publication: BSDEs and Enlargement of Filtration