| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1153872 | Statistics & Probability Letters | 2009 | 6 Pages |
Abstract
In this paper, we study the solution of a one-dimensional backward stochastic differential equation driven by Teugels martingales with enlarged filtration. As an application, we will try to compare the strategies of an insider trader and a non-insider one on a financial market modeling by a Lévy process.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Mohamed El Otmani,