Studying anticipation on financial markets by BSDE

DOI10.1515/156939706776953142zbMath1118.60056OpenAlexW2154338285MaRDI QIDQ3440794

Khadija Akdim, Youssef Ouknine, Aboubakary Diakhaby

Publication date: 29 May 2007

Published in: Random Operators and Stochastic Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/156939706776953142

zbMATH Keywords

backward stochastic differential equationinsider tradingfinancial marketenlarged filtration

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Stochastic integrals (60H05)

Related Items

Studying anticipation on financial markets via BSDEs with random terminal time, BSDEs driven by Lévy process with enlarged filtration and applications in finance

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