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
收藏
页码：44 / 49
页数：6
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