Conditioned stochastic differential equations: Theory, examples and application to finance

Stochastic Processes and their Applications

Volumn 100, Issue 1-2, 2002, Pages 109-145

  Baudoin, Fabrice ^a,b  

^a SORBONNE UNIVERSITÉ   (France)

^b CREST   (France)

Author keywords

Brownian bridge; Conditioning; Exponential generalization of Pitman's 2M X theorem; Filtering; Initial enlargement of filtration; Portfolio optimization

Indexed keywords

EID: 0036062859     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4149(02)00109-6     Document Type: Article

References (38)

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3. Additional logarithmic utility of an insider
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9. Grossissement gaussien de la filtration brownienne
10. The representation of functionals of Brownian motion by stochastic integrals
11. On a quasi-linear parabolic equation occurring in aerodynamics
12. Some absolute continuity relationships for certain anticipative transformations of geometric Brownian motions
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19. xx
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24. Optimal portfolio and consumption decisions for a "Small investor" on a finite horizon
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27. A relationship between Brownian motions with opposite drifts via certain enlargements of the Brownian filtration
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31. Anticipative portfolio optimization
32. Bessel processes and infinitely divisible laws
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