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  L.
Alili, C. Wu : Further results on some singular linear stochastic differential equations, submitted to Stochastic processes and their applications  L.
Grossissements de filtrations : exemples et applications
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Lecture Notes in Mathematics
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Initial Enlargement of Filtrations and Entropy of Poisson Compensators
Yor Eds. Notes Math , Springer-Verlag,  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  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.
Bayesian Reasoning and Machine Learning. David Barber.
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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.
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