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math.PR2015
Integral representations of martingales for progressive enlargements of filtrations
Anna Aksamit, Monique Jeanblanc, Marek Rutkowski
We work in the setting of the progressive enlargement of a reference filtration through the observation of a random time . We study an integral represent…
math.PR2015
Utility maximization with random horizon: a BSDE approach
Monique Jeanblanc, Thibaut Mastrolia, Dylan Possamaï +1
In this paper we study a utility maximization problem with random horizon and reduce it to the analysis of a specific BSDE, which we call BSDE with singular coefficients, when the…