Q6154368 (Q6154368): Difference between revisions

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+Enlargement of Filtration with Finance in View
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+Generalized BSDE and reflected BSDE with random time horizon
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+CREDIT RISK PREMIA AND QUADRATIC BSDEs WITH A SINGLE JUMP
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+Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging
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+On the Monotone Stability Approach to BSDEs with Jumps: Extensions, Concrete Criteria and Examples
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+MARTINGALE REPRESENTATIONS IN PROGRESSIVE ENLARGEMENT BY MULTIVARIATE POINT PROCESSES
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+Backward Stochastic Differential Equations and Optimal Control of Marked Point Processes
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+Backward stochastic differential equation driven by a marked point process: an elementary approach with an application to optimal control
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+Q5658888
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+On the weak representation property in progressively enlarged filtrations with an application in exponential utility maximization
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+Martingale representation in progressively enlarged Lévy filtrations
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+What happens after a default: the conditional density approach
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+Q4274285
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+Remarks on a characterisation of BMO-martingales
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+Multivariate point processes: predictable projection, Radon-Nikodym derivatives, representation of martingales
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+Calcul stochastique et problèmes de martingales
@@ Property / cites work: Calcul stochastique et problèmes de martingales / rank @@
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+Q3684922
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+Q4778955
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+Progressive enlargement of filtrations with initial times
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+UTILITY MAXIMIZATION WITH RANDOM HORIZON: A BSDE APPROACH
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+Semi-martingales et grossissement d'une filtration
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+Optimal investment with counterparty risk: a default-density model approach
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+Progressive enlargement of filtrations and backward stochastic differential equations with jumps
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+Mean-variance hedging on uncertain time horizon in a market with a jump
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+Exponential utility maximization in an incomplete market with defaults
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+A new existence result for quadratic BSDEs with jumps with application to the utility maximization problem
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+Stochastic control under progressive enlargement of filtrations and applications to multiple defaults risk management
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