On the weak representation property in progressively enlarged filtrations with an application in exponential utility maximization-Reference-Cited by-同舟云学术

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On the weak representation property in progressively enlarged filtrations with an application in exponential utility maximization

Published:2020-02 Issue:2 Volume:130 Page:760-784
ISSN:0304-4149
Container-title:Stochastic Processes and their Applications
language:en
Short-container-title:Stochastic Processes and their Applications

Author:

Di Tella Paolo

Funder

German Research Foundation

Publisher

Elsevier BV

Subject

Applied Mathematics,Modelling and Simulation,Statistics and Probability

Reference28 articles.

1. Enlargement of Filtration with Finance in View;Aksamit,2017

2. Predictable representation property for progressive enlargements of a poisson filtration;Aksamit;Stochastic Process. Appl.,2018

3. Bounded solutions to backward sdes with jumps for utility optimization and indifference hedging;Becherer;Ann. Appl. Probab.,2006

4. Indifference pricing of defaultable claims;Bielecki,2008

5. Hedging of defaultable claims;Bielecki,2004

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1. Concepts of Statistical Causality and Strong and Weak Properties of Predictable Representation;Mathematics;2024-02-29

2. On the compensator of step processes in progressively enlarged filtrations and related control problems;Latin American Journal of Probability and Mathematical Statistics;2024

3. On the Propagation of the Weak Representation Property in Independently Enlarged Filtrations: The General Case;Journal of Theoretical Probability;2021-12-17

4. Martingale representation in progressively enlarged Lévy filtrations;Stochastics;2021-06-06

5. Martingale representation in the enlargement of the filtration generated by a point process;Stochastic Processes and their Applications;2021-01

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