• Corpus ID: 234680116

Generalized BSDEs with random time horizon in a progressively enlarged filtration

@inproceedings{Aksamit2021GeneralizedBW,
  title={Generalized BSDEs with random time horizon in a progressively enlarged filtration},
  author={Anna Aksamit and Libo Li and Marek Rutkowski},
  year={2021}
}
We study generalized backward stochastic differential equations (BSDEs) up to a random time horizon θ, which is not a stopping time, under minimal assumptions regarding the properties of θ. In contrast to existing works in this area, we do not impose specific assumptions on the random time θ and we study the existence of solutions to BSDEs and reflected BSDEs with a random time horizon through the method of reduction. In addition, we also examine BSDEs and reflected BSDEs with a làdlàg driver… 
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Progressively Enlargement of Filtrations and Control Problems for Step Processes

In the present paper we address stochastic optimal control problems for a step process (X ,F) under a progressive enlargement of the filtration. The global information is obtained adding to the…

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