Open AccessBackward stochastic differential equations with respect to general filtrations and applications to insider finance
Author(s) -
Bernt Øksendal,
Tusheng Zhang
Publication year - 2012
Publication title -
communications on stochastic analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.224
H-Index - 10
eISSN - 2688-6669
pISSN - 0973-9599
DOI - 10.31390/cosa.6.4.13
Subject(s) - insider , stochastic differential equation , consumption (sociology) , cash flow , mathematics , insider trading , differential (mechanical device) , cash , economics , econometrics , mathematical economics , finance , physics , philosophy , epistemology , thermodynamics , aesthetics
In this paper, we study backward stochastic dierential equations with respect to general filtrations. The results are used to find the optimal consumption rate for an insider from a cash
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