BSDEs driven by Levy process with enlarged filtration and applications in finance

被引：4

作者：

El Otmani, Mohamed ^{[1
]}

机构：

[1] Semlalia Cadi Ayyad Univ, Fac Sci, Dept Math, Marrakech, Morocco

来源：

STATISTICS & PROBABILITY LETTERS | 2009年 / 79卷 / 01期

关键词：

STOCHASTIC DIFFERENTIAL-EQUATIONS;

D O I：

10.1016/j.spl.2008.07.020

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this paper, we study the solution of a one-dimensional backward stochastic differential equation driven by Teugels martingales with enlarged filtration. As an application, we will try to compare the strategies of an insider trader and a non-insider one on a financial market modeling by a Levy process. (c) 2008 Elsevier B.V. All rights reserved.

引用

页码：44 / 49

页数：6

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