Progressive enlargement of filtrations and Backward SDEs with jumps
Date
2014Link to item file
http://hal.archives-ouvertes.fr/hal-00555787Dewey
Probabilités et mathématiques appliquéesSujet
exponential utility; decomposition in the reference filtration; progressive enlargement of filtrations; multiple random marked times; quadratic BSDE; Backward SDEJournal issue
Journal of Theoretical ProbabilityVolume
27Number
3Publication date
2014Article pages
683-724Publisher
SpringerCollections
Metadata
Show full item recordAuthor
Lim, Thomas
Kharroubi, Idris