BSDEs and enlargement of filtration
DOI10.1007/978-3-030-22285-7_7zbMATH Open1498.60217OpenAlexW2970745256MaRDI QIDQ5038296FDOQ5038296
Authors: Dongli Wu, Monique Jeanblanc 
Publication date: 30 September 2022
Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-030-22285-7_7
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projectionBrownian motionenlargement of filtrationPoisson random measureBSDEabsolute continuity Jacod's hypothesis
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)
Cites Work
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- Backward Stochastic Differential Equations in Finance
- Adapted solution of a backward stochastic differential equation
- Semi-martingales et grossissement d'une filtration
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- Backward stochastic differential equations with jumps and related nonlinear expectations
- BSDEs with jumps, optimization and applications to dynamic risk measures
- Progressive enlargement of filtrations with initial times
- Martingale representation property in progressively enlarged filtrations
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- Changes of filtrations and of probability measures
- Density analysis of non-Markovian BSDEs and applications to biology and finance
- BSDEs with monotone generator driven by Brownian and Poisson noises in a general filtration
- Nouveaux résultats sur le grossissement des tribus
- Title not available (Why is that?)
- The strong predictable representation property in initially enlarged filtrations under the density hypothesis
- Enlargement of filtrations with finance in view
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