BSDEs and enlargement of filtration

DOI10.1007/978-3-030-22285-7_7MaRDI QIDQ5038296zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

projectionBrownian motionenlargement of filtrationPoisson random measureBSDEabsolute continuity Jacod's hypothesis

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Recommendations

• Progressive enlargement of filtrations and backward stochastic differential equations with jumps
• Backward stochastic differential equations with respect to general filtrations and applications to insider finance
• Filtration stability of backward sde's
• BSDEs driven by Lévy process with enlarged filtration and applications in finance
• Risk measures and progressive enlargement of filtration: a BSDE approach

Cites work

• scientific article; zbMATH DE number 3907486 (Why is no real title available?)
• scientific article; zbMATH DE number 3651483 (Why is no real title available?)
• scientific article; zbMATH DE number 1066313 (Why is no real title available?)
• Adapted solution of a backward stochastic differential equation
• BSDEs with jumps, optimization and applications to dynamic risk measures
• BSDEs with monotone generator driven by Brownian and Poisson noises in a general filtration
• Backward Stochastic Differential Equations in Finance
• Backward stochastic differential equations with enlarged filtration: Option hedging of an insider trader in a financial market with jumps
• Backward stochastic differential equations with jumps and related nonlinear expectations
• Backward stochastic differential equations with jumps and their actuarial and financial applications. BSDEs with jumps
• Changes of filtrations and of probability measures
• Density analysis of non-Markovian BSDEs and applications to biology and finance
• Enlargement of filtrations with finance in view
• Martingale representation property in progressively enlarged filtrations
• Nouveaux résultats sur le grossissement des tribus
• Pricing via utility maximization and entropy.
• Progressive enlargement of filtrations with initial times
• Semi-martingales et grossissement d'une filtration
• The Shannon information of filtrations and the additional logarithmic utility of insiders
• The strong predictable representation property in initially enlarged filtrations under the density hypothesis
• Utility maximization in incomplete markets

This page was built for publication: BSDEs and enlargement of filtration

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5038296)