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SIAM Journal on Financial Mathematics Volume 2020 Issue 1904

Subject Areas: Finance
ISSN: 1945-497X
SJR: 32

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Journal Article

Risk measures and progressive enlargement of filtration: a BSDE approach

Calvia, Alessandro; Gianin, Emanuela Rosazza

2019 Mathematics

doi:10.1137/19M1259134

Abstract: We consider dynamic risk measures induced by Backward Stochastic Differential Equations (BSDEs) in enlargement of filtration setting. On a fixed probability space, we are given a standard Brownian motion and a pair of random variables $(\tau, \zeta) \in (0,+\infty) \times E$, with $E...

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