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dc.date.accessioned2013-11-21T11:56:16Z
dc.date.available2013-11-21T11:56:16Z
dc.date.issued2009en_US
dc.date.submitted2009-11-02en_US
dc.identifier.urihttp://hdl.handle.net/10852/10469
dc.description.abstractIn this paper, we study backward stochastic differential equations with respect to general filtrations. The results are used to find the optimal consumption rate for an insider from a cash flow modeled as a generalized geometric Itô-Lévy process.eng
dc.language.isoengen_US
dc.publisherMatematisk Institutt, Universitetet i Oslo
dc.relation.ispartofPreprint series. Pure mathematics http://urn.nb.no/URN:NBN:no-8076en_US
dc.relation.urihttp://urn.nb.no/URN:NBN:no-8076
dc.rights© The Author(s) (2009). This material is protected by copyright law. Without explicit authorisation, reproduction is only allowed in so far as it is permitted by law or by agreement with a collecting society.
dc.titleBackward stochastic differential equations with respect to general filtrations and applications to insider financeen_US
dc.typeResearch reporten_US
dc.date.updated2013-11-15en_US
dc.rights.holderCopyright 2009 The Author(s)
dc.creator.authorØksendal, Bernten_US
dc.creator.authorZhang, Tushengen_US
dc.subject.nsiVDP::410en_US
dc.identifier.urnURN:NBN:no-23398en_US
dc.type.documentForskningsrapporten_US
dc.identifier.duo96299en_US
dc.identifier.fulltextFulltext https://www.duo.uio.no/bitstream/handle/10852/10469/1/pm19-09.pdf


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