4 citations · 4 across the 7 of their papers we have counts for
Showing 2019Show all
2 papers · 1 filter
math.PR2019
BSDEs and log-utility maximization for Lévy processes
Paolo Di Tella, Hans-Jürgen Engelbert
In this paper we establish the existence and the uniqueness of the solution of a special class of BSDEs for Lévy processes in the case of a Lipschitz generator of sublinear growth.…
math.PR2019
Martingale Representation in the Enlargement of the Filtration Generated by a Point Process
Paolo Di Tella, Monique Jeanblanc
Let be a point process and let denote the filtration generated by . In this paper we study martingale representation theorems in the filtration obt…