68 citations · 225 across the 22 of their papers we have counts for
Showing 2012 · math.PRShow all
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math.PR2012★ 4 cited
Martingale representation property in progressively enlarged filtrations
M. Jeanblanc, S. Song
Consider the progressive enlargement of a filtration with a random time . Assuming that, in , the martingale representation property holds,…
math.PR2012★ 7 cited
Robust utility maximization problem in model with jumps and unbounded claim
Monique Jeanblanc, Anis Matoussi, Armand Ngoupeyou
We study a problem of utility maximization under model uncertainty with information including jumps. We prove first that the value process of the robust stochastic control problem…