放大滤波下的倒向随机微分方程

ERN: Other Econometrics: Econometric & Statistical Methods - Special Topics (Topic) Pub Date : 2018-07-21 DOI:10.2139/ssrn.3162122

M. Hess

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引用次数: 1

摘要

给出了不同放大过滤方法下(线性和非线性)跳扩散后向随机微分方程(BSDEs)的求解公式。我们还推导了一个放大过滤框架下BSDEs的比较定理，并给出了我们的理论结果的几个应用。例如，我们研究了由放大过滤BSDE建模的天气预报下的温度导数，研究了具有未来价格行为附加信息的内幕人士的投资组合选择和对冲，并在放大过滤设置中求解了特定的预测平均场BSDE。

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Backward Stochastic Differential Equations under Enlarged Filtrations

We provide solution formulas for (linear and non-linear) jump-diffusion backward stochastic differential equations (BSDEs) under diverse enlarged filtration approaches. We also derive a comparison theorem for BSDEs in an enlarged filtration framework and present several applications of our theoretical results. For example, we study temperature derivatives under weather forecasts modeled by an enlarged filtration BSDE, investigate portfolio selection and hedging for an insider with additional information on future price behavior and solve a particular predictive mean-field BSDE in an enlarged filtration setup.

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来源期刊

ERN: Other Econometrics: Econometric & Statistical Methods - Special Topics (Topic)

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