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Progressive enlargement of filtrations and Backward SDEs with jumps
This work deals with backward stochastic differential equation (BSDE) with random marked jumps, and their applications to default risk. We show that these BSDEs are... -
Portfolio optimization in a default model under full/partial information
In this paper, we consider a financial market with assets exposed to some risks inducing jumps in the asset prices, and which can still be traded after default times....
