Progressive enlargement of filtrations and backward stochastic differential equations with jumps
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Publication:471510
DOI10.1007/s10959-012-0428-1zbMath1319.60126arXiv1101.2815MaRDI QIDQ471510
Publication date: 17 November 2014
Published in: Journal of Theoretical Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1101.2815
incomplete market; backward stochastic differential equations; European option; progressive enlargement of filtrations; exponential utility; asset price with jumps; counterparty credit risk; random marked times
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
93E20: Optimal stochastic control
91G80: Financial applications of other theories
91G20: Derivative securities (option pricing, hedging, etc.)
60G57: Random measures
91G40: Credit risk
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