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

Mohamed El Otmani

Statistics & Probability Letters, 2009, vol. 79, issue 1, 44-49

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.

Date: 2009
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