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

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  • El Otmani, Mohamed

Abstract

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 Lévy process.

Suggested Citation

  • El Otmani, Mohamed, 2009. "BSDEs driven by Lévy process with enlarged filtration and applications in finance," Statistics & Probability Letters, Elsevier, vol. 79(1), pages 44-49, January.
    • Handle: RePEc:eee:stapro:v:79:y:2009:i:1:p:44-49
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    References listed on IDEAS

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    1. Amendinger, Jürgen, 2000. "Martingale representation theorems for initially enlarged filtrations," Stochastic Processes and their Applications, Elsevier, vol. 89(1), pages 101-116, September.
    2. Axel Grorud & Monique Pontier, 1998. "Insider Trading in a Continuous Time Market Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 1(03), pages 331-347.
    3. Amendinger, Jürgen & Imkeller, Peter & Schweizer, Martin, 1998. "Additional logarithmic utility of an insider," SFB 373 Discussion Papers 1998,25, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    4. Josep Vives & Jorge A. León & Frederic Utzet & Josep L. Solé, 2002. "On Lévy processes, Malliavin calculus and market models with jumps," Finance and Stochastics, Springer, vol. 6(2), pages 197-225.
    5. Amendinger, Jürgen & Imkeller, Peter & Schweizer, Martin, 1998. "Additional logarithmic utility of an insider," Stochastic Processes and their Applications, Elsevier, vol. 75(2), pages 263-286, July.
    6. N. El Karoui & S. Peng & M. C. Quenez, 1997. "Backward Stochastic Differential Equations in Finance," Mathematical Finance, Wiley Blackwell, vol. 7(1), pages 1-71, January.
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