Enlargement of filtration on Poisson space: a Malliavin calculus approach
Author:
Affiliation:
1. Department of Statistics, The Chinese University of Hong Kong , Shatin, Hong Kong.
2. Center for Applied Statistics and Institute of Statistics & Big Data, Renmin University of China , Beijing, China.
Funder
Hong Kong RGC GRF
Renmin University of China
The Hong Kong RGC
Publisher
Informa UK Limited
Subject
Modeling and Simulation,Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/17442508.2017.1415340
Reference20 articles.
1. Additional logarithmic utility of an insider
2. Computations of Greeks in a market with jumps via the Malliavin calculus
3. Incomplete markets with jumps and informed agents
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1. Anticipative information in a Brownian−Poisson market;Annals of Operations Research;2022-11-27
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