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dc.contributor.authorLim, Thomas
dc.contributor.authorKharroubi, Idris
dc.date.accessioned2012-06-25T14:26:00Z
dc.date.available2012-06-25T14:26:00Z
dc.date.issued2014
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/9573
dc.language.isoenen
dc.subjectexponential utilityen
dc.subjectdecomposition in the reference filtrationen
dc.subjectprogressive enlargement of filtrationsen
dc.subjectmultiple random marked timesen
dc.subjectquadratic BSDEen
dc.subjectBackward SDEen
dc.subject.ddc519en
dc.titleProgressive enlargement of filtrations and Backward SDEs with jumpsen
dc.typeArticle accepté pour publication ou publié
dc.contributor.editoruniversityotherLaboratoire d'analyse et probabilités http://www.univ-evry.fr/fr/recherche/les_laboratoires/analyse_et_probabilites.html Université d'Evry-Val d'Essonne : EA2172;France
dc.contributor.editoruniversityotherEcole Nationale Supérieure d'Informatique pour l'Industrie et l'Entreprise (ENSIIE) http://www.ensiie.fr/;France
dc.description.abstractenThis work deals with backward stochastic differential equation (BSDE) with random marked jumps, and their applications to default risk. We show that these BSDEs are linked with Brownian BSDEs through the decomposition of processes with respect to the progressive enlargement of filtrations. We show that the equations have solutions if the associated Brownian BSDEs have solutions. We also provide a uniqueness theorem for BSDEs with jumps by giving a comparison theorem based on the comparison for Brownian BSDEs. We give in particular some results for quadratic BDSEs. As applications, we study the pricing and the hedging of a European option in a complete market with a single jump, and the utility maximization problem in an incomplete market with a finite number of jumps.en
dc.relation.isversionofjnlnameJournal of Theoretical Probability
dc.relation.isversionofjnlvol27
dc.relation.isversionofjnlissue3
dc.relation.isversionofjnldate2014
dc.relation.isversionofjnlpages683-724
dc.relation.isversionofdoihttp://dx.doi.org/10.1007/s10959-012-0428-1
dc.identifier.urlsitehttp://hal.archives-ouvertes.fr/hal-00555787en
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherSpringer
dc.subject.ddclabelProbabilités et mathématiques appliquéesen


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