Communications on Stochastic Analysis. 2012, 6 (4), 703-722
In this paper, we study backward stochastic differential equations (BSDEs) with respect to general filtrations. We prove existence and uniqueness theorems for such BSDEs and we establish a comparison theorem. Reflected BSDEs with general filtration are also studied. The results are used to find the optimal consumption rate for an insider from a cash flow modeled as a generalized geometric Itˆo-L´evy process.
Communications on Stochastic Analysis 2012 ;Volum 6.(4) s. 703-722 https://www.math.lsu.edu/cosa/ Posted here with permission.