Conditioned stochastic differential equations: theory, examples and application to finance.
type: Item
instance of: scholarly article
title: Conditioned stochastic differential equations: theory, examples and application to finance.
zbMATH Open document ID: 1058.60040
DOI: 10.1016/S0304-4149(02)00109-6
author: Fabrice Baudoin
published in: Stochastic Processes and their Applications
publication date: 2005-02-25T00:00:00Z
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 60J65
Mathematics Subject Classification ID: 60J60
zbMATH DE Number: 2138921
zbMATH Keywords: Brownian bridge
zbMATH Keywords: conditioning
zbMATH Keywords: initial enlargement of filtration
zbMATH Keywords: exponential generalization of Pitman's 2M-X theorem
zbMATH Keywords: filtering
zbMATH Keywords: portfolio optimization
MaRDI profile type: Publication
cites work: Canonical decompositions of certain generalized Brownian bridges
cites work: Further results on some singular linear stochastic differential equations
cites work: Additional logarithmic utility of an insider
cites work: A monetary value for initial information in portfolio optimization
cites work: Further exponential generalization of Pitman's \(2M-X\) theorem
cites work: Conditioned diffusions which are Brownian bridges
cites work: Q3694384
cites work: The Representation of Functionals of Brownian Motion by Stochastic Integrals
cites work: On a quasi-linear parabolic equation occurring in aerodynamics
cites work: Some absolute continuity relationships for certain anticipative transformations of geometric Brownian motions.
cites work: The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding
cites work: Q4218398
cites work: Markov processes with identical bridges
cites work: Q4279771
cites work: Anticipation cancelled by a Girsanov transformation: A paradox on Wiener space
cites work: The partial differential equation ut + uux = μxx
cites work: Semi-martingales et grossissement d'une filtration
cites work: Grossissements de filtrations: exemples et applications. Séminaire de Calcul Stochastique 1982/83, Université Paris VI
cites work: Q3477773
cites work: Q4039796
cites work: Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
cites work: Q4337939
cites work: Some changes of probabilities related to a geometric Brownian motion version of Pitman's \(2M-X\) theorem
cites work: A relationship between Brownian motions with opposite drifts via certain enlargements of the Brownian filtration
cites work: Q4311829
cites work: Q4510189
cites work: Q4842684
cites work: Anticipative portfolio optimization
cites work: Q3923359
cites work: Q4226355
cites work: Calcul stochastique d�pendant d'un param�tre
cites work: Q4693741
cites work: Q3126393
description: scientific article; zbMATH DE number 2138921