I would like to announce the following talk that will be held on Friday, April 5th 2019, at 4:30 PM, in Aula D’Antoni of the Department of Mathematics, University of Rome Tor Vergata, in the framework of the activities supported by the MIUR Excellence Department Project CUP E83C18000100006.
Speaker: Paolo Di Tella
Title: On The Weak Representation Property in Progressively Enlarged Filtrations with an Application in Exponential Utility Maximization
Abstract: In this talk we show that the weak representation property of a semimartingale $X$ with respect to a filtration $\mathbb{F}$ is preserved in the progressive enlargement $\mathbb{G}$ by a random time $\tau$ avoiding $\mathbb{F}$-stopping times and such that $\mathbb{F}$ is immersed in $\mathbb{G}$. As an application of this, we can solve an exponential utility maximization problem in the enlarged filtration $\mathbb{G}$ following the dynamical approach, based on suitable BSDEs, both over the fixed-time horizon $[0,T]$, $T>0$, and over the random-time horizon $[0,T\wedge\tau]$.
Kind regards
--------- Anna Vidotto
PostDoc Researcher Dipartimento di Matematica Università degli Studi di Roma Tor Vergata