Progressive Enlargement of Filtrations and Backward Stochastic Differential Equations with Jumps
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DOI: 10.1007/s10959-012-0428-1
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References listed on IDEAS
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Cited by:
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- Libo Li & Ruyi Liu & Marek Rutkowski, 2022. "Well-posedness and penalization schemes for generalized BSDEs and reflected generalized BSDEs," Papers 2212.12854, arXiv.org.
- T. Choulli & S. Alsheyab, 2024. "Linear reflected backward stochastic differential equations arising from vulnerable claims in markets with random horizon," Papers 2408.04758, arXiv.org.
- Ludovic Tangpi & Shichun Wang, 2023. "Optimal Bubble Riding with Price-dependent Entry: a Mean Field Game of Controls with Common Noise," Papers 2307.11340, arXiv.org.
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Keywords
Backward SDE; Quadratic BSDE; Multiple random marked times; Progressive enlargement of filtrations; Decomposition in the reference filtration; Exponential utility;All these keywords.
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