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

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.

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Year of publication:	2009
Authors:	El Otmani, Mohamed
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 79.2009, 1, p. 44-49
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005319732