Mathematical Finance, Stochastic Analysis, and Machine Learning Seminar by Monique Jeanblanc: Projections of Semimartingales and Applications to BSDE
Speaker: , professor emerita of mathematics, University of 脡vry 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