Conditioned stochastic differential equations: theory, examples and application to finance.

DOI10.1016/S0304-4149(02)00109-6zbMath1058.60040MaRDI QIDQ1766028

Fabrice Baudoin

Publication date: 25 February 2005

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

Brownian bridgeconditioningfilteringportfolio optimizationinitial enlargement of filtrationexponential generalization of Pitman's 2M-X theorem

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Diffusion processes (60J60)

Related Items

Stochastic Differential Equations Driven by Loops ⋮ Solving high-dimensional Hamilton-Jacobi-Bellman PDEs using neural networks: perspectives from the theory of controlled diffusions and measures on path space ⋮ Stabilization of Stochastic McKean--Vlasov Equations with Feedback Control Based on Discrete-Time State Observation ⋮ Conditioning and initial enlargement of filtration on a Riemannian manifold. ⋮ Conditioning diffusion processes with killing rates ⋮ Conditioning two diffusion processes with respect to their first-encounter properties ⋮ Conditioning diffusion processes with respect to the local time at the origin ⋮ Asymmetric information in fads models ⋮ Diffusion Bridges for Stochastic Hamiltonian Systems and Shape Evolutions ⋮ Particles systems and numerical schemes for mean reflected stochastic differential equations ⋮ Stochastic modelling with randomized Markov bridges ⋮ Representation formula for the entropy and functional inequalities ⋮ Bayesian estimation of incompletely observed diffusions ⋮ Stability of hybrid pantograph stochastic functional differential equations ⋮ Joint distribution of two local times for diffusion processes with the application to the construction of various conditioned processes ⋮ Conditioning continuous-time Markov processes by guiding ⋮ Exact solutions for the probability density of various conditioned processes with an entrance boundary ⋮ Expansion of a filtration with a stochastic process: the information drift ⋮ Exponential functionals of Brownian motion and class-one Whittaker functions ⋮ Conditioning diffusions with respect to incomplete observations ⋮ Constraint Ornstein-Uhlenbeck bridges ⋮ Constrained Brownian processes and constrained Brownian bridges ⋮ Sweetest taboo processes ⋮ Strongly constrained stochastic processes: the multi-ends Brownian bridge ⋮ Nonequilibrium Markov processes conditioned on large deviations ⋮ Term structure of credit spreads with learning and anticipation effects ⋮ Lévy random bridges and the modelling of financial information ⋮ Dynamic Markov bridges motivated by models of insider trading ⋮ On a one-parameter generalization of the Brownian bridge and associated quadratic functionals ⋮ Laplace approximation of transition densities posed as Brownian expectations ⋮ Generalized Gaussian bridges ⋮ Insider information and its relation with the arbitrage condition and the utility maximization problem ⋮ Further results on some singular linear stochastic differential equations ⋮ Comparison of insiders' optimal strategies depending on the type of side-information ⋮ Risk Measures and Robust Optimization Problems ⋮ Studying anticipation on financial markets by BSDE

Cites Work

• Grossissements de filtrations: exemples et applications. Séminaire de Calcul Stochastique 1982/83, Université Paris VI
• Further results on some singular linear stochastic differential equations
• Semi-martingales et grossissement d'une filtration
• Markov processes with identical bridges
• Some changes of probabilities related to a geometric Brownian motion version of Pitman's \(2M-X\) theorem
• Anticipation cancelled by a Girsanov transformation: A paradox on Wiener space
• Conditioned diffusions which are Brownian bridges
• A monetary value for initial information in portfolio optimization
• Some absolute continuity relationships for certain anticipative transformations of geometric Brownian motions.
• Additional logarithmic utility of an insider
• Canonical decompositions of certain generalized Brownian bridges
• Further exponential generalization of Pitman's \(2M-X\) theorem
• Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
• The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding
• [https://portal.mardi4nfdi.de/wiki/Publication:4170005 Calcul stochastique d�pendant d'un param�tre]
• Anticipative portfolio optimization
• The Representation of Functionals of Brownian Motion by Stochastic Integrals
• The partial differential equation u_t + uu_x = μ_xx
• On a quasi-linear parabolic equation occurring in aerodynamics
• A relationship between Brownian motions with opposite drifts via certain enlargements of the Brownian filtration
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Conditioned stochastic differential equations: theory, examples and application to finance.