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Enlargement of Filtration, Backward Stochastic Differential Equations and Optimal Stopping Problems
This thesis focuses on the application of the enlargement of filtration to backward stochastic differential equations (BSDEs) and optimal stopping problems. In particular, the thesis develops the theory of the progressive enlargement of filtration with multiple random times and their associated mark...
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| Format: | Thesis |
| Language: | English |
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African Institute of Financial Markets and Risk Management
2023
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