On the weak representation property in progressively enlarged filtrations with an application in exponential utility maximization
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DOI: 10.1016/j.spa.2019.03.013
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References listed on IDEAS
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- Monique Jeanblanc & Thibaut Mastrolia & Dylan Possamaï & Anthony Réveillac, 2015. "Utility Maximization With Random Horizon: A Bsde Approach," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(07), pages 1-43, November.
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Cited by:
- Jos'e A. Salmer'on & Giulia Di Nunno & Bernardo D'Auria, 2022. "Before and after default: information and optimal portfolio via anticipating calculus," Papers 2208.07163, arXiv.org, revised May 2023.
- Karen Grigorian & Robert A. Jarrow, 2023. "Enlargement of Filtrations: An Exposition of Core Ideas with Financial Examples," Papers 2303.03573, arXiv.org.
- Paolo Tella, 2022. "On the Propagation of the Weak Representation Property in Independently Enlarged Filtrations: The General Case," Journal of Theoretical Probability, Springer, vol. 35(4), pages 2194-2216, December.
- Di Tella, Paolo & Jeanblanc, Monique, 2021. "Martingale representation in the enlargement of the filtration generated by a point process," Stochastic Processes and their Applications, Elsevier, vol. 131(C), pages 103-121.
- Salmerón Garrido, José Antonio & Nunno, Giulia Di & D'Auria, Bernardo, 2022. "Before and after default: information and optimal portfolio via anticipating calculus," DES - Working Papers. Statistics and Econometrics. WS 35411, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
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Keywords
Weak representation property; Semimartingales; Progressive enlargement of filtrations; Exponential utility maximization;All these keywords.
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