BSDEs driven by Lévy process with enlarged filtration and applications in finance
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Cited in
(16)- Explicit solution of a nonlinear filtering problem for Lévy processes with application to finance
- Backward stochastic differential equations with enlarged filtration: Option hedging of an insider trader in a financial market with jumps
- Generalized reflected BSDEs driven by a Lévy process and an obstacle problem for PDIEs with a nonlinear Neumann boundary condition
- Backward stochastic differential equations with respect to general filtrations and applications to insider finance
- Studying anticipation on financial markets by BSDE
- scientific article; zbMATH DE number 6178028 (Why is no real title available?)
- BSDEs and enlargement of filtration
- BSDENMs: enlargement of filtration and insider trading
- Studying anticipation on financial markets via BSDEs with random terminal time
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- Reflected BSDEs driven by RCLL martingales with stochastic Lipschitz coefficient in a general filtration: analysis and applications
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