Grossissements de filtrations: exemples et applications. Séminaire de Calcul Stochastique 1982/83, Université Paris VI
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(54)- Progressive filtration expansions via a process, with applications to insider trading
- MINIMAL VARIANCE HEDGING FOR INSIDER TRADING
- Ten penalisation results of Brownian motion involving its one-sided supremum until first and last passage times. VIII
- Hazard processes and martingale hazard processes
- From the decompositions of a stopping time to risk premium decompositions
- Diffusion bridges for stochastic Hamiltonian systems and shape evolutions
- `Analogies,' `interpretations,' `images,' `systems,' and `models': some remarks on the history of abstract representation in the sciences since the nineteenth century
- Successive enlargement of filtrations and application to insider information
- Conditioned stochastic differential equations: theory, examples and application to finance.
- Unit-linked life insurance policies: optimal hedging in partially observable market models
- BSDEs driven by Lévy process with enlarged filtration and applications in finance
- Enlargements of filtrations and path decompositions at non stopping times
- Constrained LQ problem with a random jump and application to portfolio selection
- Conditioning and initial enlargement of filtration on a Riemannian manifold.
- A two-sided stochastic integral and its calculus
- Pricing and valuation under the real-world measure
- The coding complexity of diffusion processes under supremum norm distortion
- Optimal insider control and semimartingale decompositions under enlargement of filtration
- Drift operator in a viable expansion of information flow
- The value of insight
- Multilevel Monte Carlo for Lévy-driven SDEs: central limit theorems for adaptive Euler schemes
- Hedging the risk of delayed data in defaultable markets
- Non-stopping times and stopping theorems
- Progressive enlargement of filtrations and backward stochastic differential equations with jumps
- Stochastic control under progressive enlargement of filtrations and applications to multiple defaults risk management
- Some Remarks on Enlargement of Filtration and Finance
- Elementary embeddings and games in adapted probability logic
- Default times, no-arbitrage conditions and changes of probability measures
- Canonical decomposition of linear transformations of two independent Brownian motions motivated by models of insider trading
- How badly are the Burkholder-Davis-Gundy inequalities affected by arbitrary random times?
- Further results on some singular linear stochastic differential equations
- Conditioning diffusions with respect to incomplete observations
- The Shannon information of filtrations and the additional logarithmic utility of insiders
- Backward stochastic differential equations with enlarged filtration: Option hedging of an insider trader in a financial market with jumps
- A Cameron-Martin Type Quasi-Invariance Theorem for Pinned Brownian Motion on a Compact Riemannian Manifold
- On the stochastic behaviour of optional processes up to random times
- On breadth‐first constructions of scaling limits of random graphs and random unicellular maps
- On filtration enlargements and purely discontinuous martingales
- Mean-variance hedging on uncertain time horizon in a market with a jump
- Progressive enlargement of filtrations with initial times
- Epidemics on critical random graphs with heavy-tailed degree distribution
- A definition and some characteristic properties of pseudo-stopping times
- Guided smoothing and control for diffusion processes
- Anticipative portfolio optimization under constraints and a higher interest rate for borrowing
- Hitting times of interacting drifted Brownian motions and the vertex reinforced jump process
- Absolutely continuous compensators
- A white noise approach to optimal insider control of systems with delay
- Martingales in Japan
- Optimization of Utility for “Larger Investor” with Anticipation
- Integration on loop groups. I: Quasi invariant measures
- Drawdowns and the speed of market crash
- Insider Trading in Convergent Markets
- On the characterisation of honest times that avoid all stopping times
- Recursive optimal stopping with Poisson stopping constraints
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