Mathematical Finance, Stochastic Analysis, and Machine Learning Seminar by Monique Jeanblanc: Projections of Semimartingales and Applications to BSDE

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Speaker: Monique Jeanblanc, professor emerita of mathematics, University of Évry Val d'Essonne

 

Title: Projections of Semimartingales and Applications to BSDE
 

Abstract: Given two nested filtrations F and G satisfying predictable representation property, we give the decomposition of optional projection of G semimartingales on F. We present some conditions so that it is possible and apply the results to BSDEs.

 

 

Mathematical Finance, Stochastic Analysis, and Machine Learning Seminar

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