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Items for "enlarged filtration"

Studying anticipation on financial markets by BSDE

The aim of the present survey is to give an outline of the modern mathematical tools which can be used on a financial market by a "small" investor who possesses some information on the price process (this is a higher information level which we call strong)...

Keywords: BSDE, enlarged filtration, insider trading

04/2006 | Random Operators and Stochastic Equations, Walter de Gruyter
Studying anticipation on financial markets via BSDEs with random terminal time

In this paper, we will continue to study a mathematical tool which can be used on a financial market by a “small” investor who possesses some information on the price process...

Keywords: BSDE, random terminal time, enlarged filtration, asymmetrical information, insider trading, American option

01/2008 | Random Operators and Stochastic Equations, Walter de Gruyter