Séminaire de Probabilités

The verification theorem under initial enlargement of filtration

by Liliana Peralta

Salle Pellos (1R2 - 207) (IMT)

Salle Pellos (1R2 - 207)



The objective of this talk is to demonstrate how we combine techniques of enlargement to filtrations with stochastic control theory to develop an extension of the verification theorem. In this extension, the coefficients of the stochastic controlled equation are adapted to the underlying filtration, and the controls are adapted to a bigger filtration G than the one generated by the corresponding Brownian motion.