Found 102 Documents (Results 1–100)
Bi-revealed utilities in a defaultable universe: a new point of view on consumption. (English) Zbl 1537.91106
Doubly reflected BSDEs driven by RCLL martingales under stochastic Lipschitz coefficient. (English) Zbl 1537.60067
On the compensator of step processes in progressively enlarged filtrations and related control problems. (English) Zbl 1534.93483
Expansion of a filtration with a stochastic process: the information drift. (English) Zbl 1515.60121
Explicit description of all deflators for market models under random horizon with applications to NFLVR. (English) Zbl 1497.91287
Martingale representations in progressive enlargement by multivariate point processes. (English) Zbl 1502.60071
Log-optimal and numéraire portfolios for market models stopped at a random time. (English) Zbl 1494.91133
Logarithmic utility maximization for insiders in progressively enlarged filtrations. (Chinese. English summary) Zbl 1499.91128
Insider information and its relation with the arbitrage condition and the utility maximization problem. (English) Zbl 1470.91238
Enlargement of filtration in discrete time. (English) Zbl 1453.60097
Jiao, Ying (ed.), From probability to finance. Lecture notes of BICMR summer school on financial mathematics, Beijing International Center for Mathematical Research, Beijing, China, May 29 – June 9, 2017. Singapore: Springer. Math. Lect. Peking Univ., 71-144 (2020).
When capital is a funding source: the anticipated backward stochastic differential equations of X-value adjustments. (English) Zbl 1443.91286
Robust framework for quantifying the value of information in pricing and hedging. (English) Zbl 1437.91424
Causal optimal transport and its links to enlargement of filtrations and continuous-time stochastic optimization. (English) Zbl 1435.90012
BSDEs and enlargement of filtration. (English) Zbl 1498.60217
Cohen, Samuel N. (ed.) et al., Frontiers in stochastic analysis – BSDEs, SPDEs and their applications. International workshop on BSDEs, SPDEs and their applications, Edinburgh, UK, July 3–7, 2017. Selected, revised and extended contributions. Cham: Springer. Springer Proc. Math. Stat. 289, 201-220 (2019).
An example of martingale representation in progressive enlargement by an accessible random time. (English) Zbl 1498.60166
Cohen, Samuel N. (ed.) et al., Frontiers in stochastic analysis – BSDEs, SPDEs and their applications. International workshop on BSDEs, SPDEs and their applications, Edinburgh, UK, July 3–7, 2017. Selected, revised and extended contributions. Cham: Springer. Springer Proc. Math. Stat. 289, 109-121 (2019).
Martingale representations in progressive enlargement by the reference filtration of a semi-martingale: a note on the multidimensional case. (English) Zbl 1492.60116
The strong predictable representation property in initially enlarged filtrations under the density hypothesis. (English) Zbl 1391.60062
An enlargement of filtration formula with applications to multiple non-ordered default times. (English) Zbl 1379.60040
Reviewer: Claudio Fontana (Paris)
No-arbitrage under a class of honest times. (English) Zbl 1391.91166
Reviewer: Martynas Manstavičius (Vilnius)
Invariance times. (English) Zbl 1387.60061
Reviewer: Krzysztof J. Szajowski (Wrocław)
No-arbitrage up to random horizon for quasi-left-continuous models. (English) Zbl 1391.91165
Reviewer: Anatoliy Swishchuk (Calgary)
Unit-linked life insurance policies: optimal hedging in partially observable market models. (English) Zbl 1395.91247
A reinsurance and investment game between two insurance companies with the different opinions about some extra information. (English) Zbl 1394.91239
Random time with differentiable conditional distribution function. (English. Russian original) Zbl 1375.60083
Theory Probab. Appl. 60, No. 4, 647-669 (2016); translation from Teor. Veroyatn. Primen. 60, No. 4, 740-769 (2015).
Enlargement of filtration and predictable representation property for semi-martingales. (English) Zbl 1352.60064
Optimal investment and risk control for an insurer under inside information. (English) Zbl 1369.91166
Optimal insider control and semimartingale decompositions under enlargement of filtration. (English) Zbl 1350.60065
Some explicit formulas for the Brownian bridge, Brownian meander and Bessel process under uniform sampling. (English) Zbl 1333.60181
A decomposition approach for the discrete-time approximation of FBSDEs with a jump. (English) Zbl 1318.65005
A time before which insiders would not undertake risk. (English) Zbl 1418.91480
Kabanov, Yuri (ed.) et al., Inspired by finance. The Musiela Festschrift. Cham: Springer. 349-362 (2014).
The exp-UIV for markets with partial information and complete information. (English) Zbl 1311.91199
Reviewer: Monique Pontier (Toulouse)
Generalized Gaussian bridges. (English) Zbl 1329.60098
Information, no-arbitrage and completeness for asset price models with a change point. (English) Zbl 1326.60057
Quadratic hedging in an incomplete market derived by an influential informed investor. (English) Zbl 1285.91125
Explicit construction of a dynamic Bessel bridge of dimension 3. (English) Zbl 1290.60075
Reviewer: Heinrich Hering (Rockenberg)
Optimal investment under multiple defaults risk: a BSDE-decomposition approach. (English) Zbl 1269.91075
Reviewer: Nicko G. Gamkrelidze (Moskva)
Credit risk with asymmetric information on the default threshold. (English) Zbl 1251.91066
MSC:
91G40
91B30
Discrete-time local risk minimization of payment processes and applications to equity-linked life-insurance contracts. (English) Zbl 1235.91104
MSC:
91B30
An explicit model of default time with given survival probability. (English) Zbl 1298.91176
Reviewer: Nicolas Perkowski (Berlin)
Random times with given survival probability and their \(\mathbb F\)-martingale decomposition formula. (English) Zbl 1230.60047
Reviewer: Yuliya S. Mishura (Kyïv)
Hiding a constant drift. (English. French summary) Zbl 1216.60048
Initial enlargement of filtrations and entropy of Poisson compensators. (English) Zbl 1266.60078
Reviewer: Antonis Papapantoleon (Berlin)
BSDEs with random terminal time under enlarged filtration. American-style options hedging by an insider. (English) Zbl 1226.91074
Stochastic control under progressive enlargement of filtrations and applications to multiple defaults risk management. (English) Zbl 1196.60141
What happens after a default: the conditional density approach. (English) Zbl 1194.91187
Reviewer: Rózsa Horvàth-Bokor (Budapest)
Hiding a drift. (English) Zbl 1193.60073
Reviewer: Klaus Schürger (Bonn)
Immersion property and credit risk modelling. (English) Zbl 1195.60066
Delbaen, Freddy (ed.) et al., Optimality and risk – modern trends in mathematical finance. The Kabanov Festschrift. Berlin: Springer (ISBN 978-3-642-02607-2/hbk). 99-131 (2009).
MSC:
60G46
91B30
Financial markets with asymmetric information: information drift, additional utility and entropy. (English) Zbl 1155.60026
Akahori, Jiro (ed.) et al., Stochastic processes and applications to mathematical finance. Proceedings of the 6th Ritsumeikan international symposium, Kyoto, Japan, March 6–10, 2006. Hackensack, NJ: World Scientific (ISBN 978-981-270-413-9/hbk). 1-22 (2007).
Reviewer: Pavel Gapeev (London)
Volterra bridges and applications. (English) Zbl 1148.60022
Reviewer: Peter Becker-Kern (Dortmund)
Optimal smooth portfolio selection for an insider. (English) Zbl 1136.60047
Reviewer: Anatoliy Swishchuk (Calgary)
Gaussian bridges. (English) Zbl 1144.60028
Benth, Fred Espen (ed.) et al., Stochastic analysis and applications. The Abel symposium 2005. Proceedings of the second Abel symposium, Oslo, Norway, July 29 – August 4, 2005, held in honor of Kiyosi Itô. Berlin: Springer (ISBN 978-3-540-70846-9/hbk). Abel Symposia 2, 361-382 (2007).
Reviewer: Mátyás Barczy (Debrecen)
Limiting laws associated with Brownian motion perturbed by its maximum, minimum and local time, II. (English) Zbl 1121.60004
The Shannon information of filtrations and the additional logarithmic utility of insiders. (English) Zbl 1098.60065
Finite utility on financial markets with asymmetric information and structure properties of the price dynamics. (English) Zbl 1115.91024
Initial enlargement: a Bayesian approach. (English) Zbl 1063.62030
Reviewer: A. D. Borisenko (Kyïv)
Conditional calculus on Poisson space and enlargement of filtration. (English) Zbl 1027.60054
Reviewer: Nicolas Privault (La Rochelle)
MSC:
60H07
60J75
Conditioned stochastic differential equations: theory, examples and application to finance. (English) Zbl 1058.60040
A relationship between Brownian motions with opposite drifts via certain enlargements of the Brownian filtration. (English) Zbl 0981.60078
Reviewer: N.M.Zinchenko (Kyïv)
Filtering and control with information increasing. (English) Zbl 0974.60023
Reviewer: Oleksandr Kukush (Kiev)
A Dirichlet structure on a Wiener-Poisson space. Application to the enlargement of filtration. (Formes de Dirichlet sur un espace de Wiener-Poisson. Application au grossissement de filtration.) (French) Zbl 0985.91027
Azéma, J. (ed.) et al., Séminaire de Probabilités XXXIV. Berlin: Springer. Lect. Notes Math. 1729, 198-217 (2000).
Reviewer: Oliver Brockhaus (London)
MSC:
91B28
Canonical decomposition of linear transformations of two independent Brownian motions motivated by models of insider trading. (English) Zbl 0996.60079
Risk neutral measures and asymmetrical information. (Probabilités neutres au risque et asymétrie d’information.) (French. Abridged English version) Zbl 0954.60035
Reviewer: Youri M.Kabanov (Besançon)
MSC:
60G44
Portfolio optimization and contingent claim pricing with differential information. (English) Zbl 0879.90032
Some formulas for anticipative Girsanov transformations. (English) Zbl 0853.60047
Houdré, Christian (ed.) et al., Chaos expansions, multiple Wiener-Itô integrals and their applications. Papers of the workshop, Guanajuato, Mexico, July 27-31, 1992. Boca Raton, FL: CRC Press. Probability and Stochastics Series. 267-291 (1994).
Reviewer: R.Buckdahn (Brest)
MSC:
60H05
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