Grossissements de filtrations: exemples et applications


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CSDE 17 We focus now our attention on some examples. Example 4. CSDE associated with the quadratic variation of a geometric brow- nian motion. The stochastic differential equation 4. CSDE 19 Proposition 4. The decomposition 4. Corollary 4.


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His portfolio decisions are based on a public information flow 2. He possesses extra information about the law of some functional of the future prices of a stock. CSDE 23 Acknowledgments. I would like to thank Marc Yor and Huyen Pham for their judicious references and remarks. References [1] L.

Schéma de construction

Alili, C. Wu : Further results on some singular linear stochastic differential equations, submitted to Stochastic processes and their applications [2] L.

Grossissements de filtrations : exemples et applications

Alili : Canonical decomposition of certain generalized Brownian bridges, preprint [3] J. Amendinger, P. Imkeller, M. Baudoin: Portfolio optimization associated with a weak information, preprint [7] J. Benarous, L.

Mazliak, R. Benjamini and S. Lee : Conditioned diffusions which are brownian bridges, J. Chaleyat-Maurel, T. Jeulin, Grossissement gaussien de la filtration brownienne. LNM , Grossissements de filtration: exemples et applications, ed. Yor, , Springer [10] Clark J. Cole : On a quasi-linear parabolic equation occuring in aerodynamics, Quart.

Dufresne : The distribution of a perpetuity, with application to risk theory and pension funding, Scand. Actuarial J.

Lecture Notes in Mathematics

Follmer : Random fields and diffusion processes. Follmer and P. IHP Vol. Pure Appl. Math , Springer- Verlag, [19] T. Jeulin and M.

Initial Enlargement of Filtrations and Entropy of Poisson Compensators

Yor Eds. Notes Math , Springer-Verlag, [20] T. Karatzas, J. Lehoczky, S. Matsumoto, M. Matsumoto and M. Oksendal : An introduction to Malliavin calculus with applications to economics, course at the Norwegian school of Economics and Business administration [30] I. Pikovsky and I. Karatzas : Anticipative Portfolio Optimization, Adv. Pitman and M. Yor : Bessel processes and infinitely divisible laws, Stochastic Integrals, ed. Williams, Lecture Notes Maths. Revuz and M. Watanabe : On time inversion of one-dimensional diffusion process, Zeitschrift fur Wahr.

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Li , Rutkowski : Progressive enlargements of filtrations with pseudo-honest times

Relating these problems to backward stochastic differential equations with a jump, we provide a verification theorem and give the optimal strategies associated to our control problems. From these, we derive a computation method to get indifference fee rates. We conclude this part with numerical illustrations of indifference fees sensibilities with respect to parameters. In the second model we propose the same approach as in the first model but we assume that the insured makes withdrawals that match the worst case for the insurer.

Grossissements de filtrations: exemples et applications Grossissements de filtrations: exemples et applications
Grossissements de filtrations: exemples et applications Grossissements de filtrations: exemples et applications
Grossissements de filtrations: exemples et applications Grossissements de filtrations: exemples et applications
Grossissements de filtrations: exemples et applications Grossissements de filtrations: exemples et applications
Grossissements de filtrations: exemples et applications Grossissements de filtrations: exemples et applications
Grossissements de filtrations: exemples et applications Grossissements de filtrations: exemples et applications

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