2015/12/06 by Olfa Draouil, Draouil, Olfa, Bernt Øksendal +1
Economics, Econometrics and Finance · Mathematics · Social Sciences · #60G48 #60H05 #60H07 #60H40 #60J75 #91G80 #93E20 #Applied mathematics #Artificial intelligence #Calculus (dental) #Computer science #Control (management) #FOS: Mathematics #Filtration (mathematics) #Financial Risk and Volatility Modeling #Insider #Insurance, Mortality, Demography, Risk Management #Law #Malliavin calculus #Mathematical analysis #Mathematical optimization #Mathematics #Optimal control #Optimization and Control (math.OC) #Political science #Pure mathematics #Semimartingale #Statistics #Stochastic calculus #Stochastic control #Stochastic processes and financial applications #White noise #math.OC #msc:60G48 #msc:60H05 #msc:60H07 #msc:60H40 #msc:60J75 #msc:91G80 #msc:93E20
paper · pdf · doi:10.48550/arxiv.1512.01759
published in arXiv (Cornell University) (Cornell University)
openalex publication_date 2015/12/06 · arxiv created 2016/05/19 · arxiv updated 2016/05/20 · openalex created_date 2025/10/10 · openalex updated_date 2026/08/06
We combine stochastic control methods, white noise analysis and\nHida-Malliavin calculus applied to the Donsker delta functional to obtain new\nrepresentations of semimartingale decompositions under enlargement of\nfiltrations. The results are illustrated by explicit examples.\n