N. Bellamy, Wealth optimization in an incomplete market driven by a jump-diffusion process, Journal of Mathematical Economics, vol.35, issue.2, pp.259-287, 2001.
DOI : 10.1016/S0304-4068(00)00068-9

T. Bielecki and M. Rutkowski, Credit Risk: Modeling, Valuation and Hedging, 2004.
DOI : 10.1007/978-3-662-04821-4

B. Bouchard and R. Elie, Discrete-time approximation of decoupled Forward- Backward SDE with jumps Purchase the full-text article, Stochastic Processes and their Applications, pp.53-75, 2008.

G. Callegaro, G. D. Masi, and W. Runggaldier, Portfolio Optimization in Discontinuous Markets under Incomplete Information, Asia-Pacific Financial Markets, vol.11, issue.4, pp.373-394, 2006.
DOI : 10.1007/s10690-007-9050-0

C. Dellacherie and P. Meyer, Probabilités et potentiel, Théorie des martingales, 1980.

J. Detemple, Asset Pricing in a Production Economy with Incomplete Information, The Journal of Finance, vol.19, issue.2, pp.383-391, 1986.
DOI : 10.1111/j.1540-6261.1986.tb05043.x

M. Dothan and D. Feldman, Equilibrium Interest Rates and Multiperiod Bonds in a Partially Observable Economy, The Journal of Finance, vol.6, issue.2, pp.369-382, 1986.
DOI : 10.1111/j.1540-6261.1986.tb05042.x

E. Karoui and N. , Les Aspects Probabilistes Du Controle Stochastique, Ecole d'Eté de Probabilités de Saint-Flour IX, 1979.
DOI : 10.1007/BFb0097499

E. Karoui, N. , and M. Quenez, Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market, SIAM Journal on Control and Optimization, vol.33, issue.1, pp.29-66, 1995.
DOI : 10.1137/S0363012992232579

E. Karoui, N. , S. Peng, and M. Quenez, Backward Stochastic Differential Equations in Finance, Mathematical Finance, vol.7, issue.1, pp.1-71, 1997.
DOI : 10.1111/1467-9965.00022

R. Frey and W. Runggaldier, Risk-minimizing hedging strategies under restricted information: The case of stochastic volatility models observable only at discrete random times, Mathematical Methods of Operations Research, vol.50, issue.2, pp.339-350, 1999.
DOI : 10.1007/s001860050101

G. Gennotte, Optimal Portfolio Choice Under Incomplete Information, The Journal of Finance, vol.5, issue.3, pp.733-746, 1986.
DOI : 10.1111/j.1540-6261.1986.tb04538.x

S. Hodges and A. Neuberger, Optimal replication of contingent claim under transaction costs, Review of Futures Markets, vol.8, pp.222-239, 1989.

Y. Hu, P. Imkeller, and M. Muller, Utility maximization in incomplete markets, The Annals of Applied Probability, vol.15, issue.3, pp.1691-1712, 2005.
DOI : 10.1214/105051605000000188

M. Jeanblanc and M. Pontier, Optimal portfolio for a small investor in a market model with discontinuous prices, Applied mathematics and optimization, pp.287-310, 1990.
DOI : 10.1007/BF01447332

Y. Jiao and H. Pham, Optimal investment with counterparty risk: a??default-density model approach, Finance and Stochastics, vol.2, issue.4, pp.725-753, 2011.
DOI : 10.1007/s00780-010-0140-x

I. Karatzas, J. Lehoczky, and S. Shreve, Optimal Portfolio and Consumption Decisions for a ???Small Investor??? on a Finite Horizon, SIAM Journal on Control and Optimization, vol.25, issue.6, pp.1557-1586, 1987.
DOI : 10.1137/0325086

I. Karatzas, J. Lehoczky, S. Shreve, and G. Xu, Martingale and Duality Methods for Utility Maximization in an Incomplete Market, SIAM Journal on Control and Optimization, vol.29, issue.3, pp.702-730, 1991.
DOI : 10.1137/0329039

I. Karatzas and S. Shreve, Brownian motion and stochastic calculus, 1991.
DOI : 10.1007/978-1-4612-0949-2

I. Karatzas and X. Xue, A Note On Utility Maximization Under Partial Observations, Mathematical Finance, vol.9, issue.2, pp.57-70, 1991.
DOI : 10.1137/0325086

D. Kramkov and W. Schachermayer, The asymptotic elasticity of utility functions and optimal investment in incomplete markets, The Annals of Applied Probability, vol.9, issue.3, pp.904-950, 1999.
DOI : 10.1214/aoap/1029962818

P. Lakner, Utility maximization with partial information, Stochastic Processes and their Applications, pp.247-273, 1995.
DOI : 10.1016/0304-4149(94)00073-3
URL : http://doi.org/10.1016/0304-4149(94)00073-3

P. Lakner, Optimal trading strategy for an investor: the case of partial information, Stochastic Processes and their Applications, pp.77-97, 1998.
DOI : 10.1016/S0304-4149(98)00032-5

J. Lasry and P. Lions, Stochastic control under partial information and applications to finance, Stochastic Processes and their Applications, pp.247-273, 1999.

T. Lim and M. Quenez, Exponential Utility Maximization in an Incomplete Market with Defaults, Electronic Journal of Probability, vol.16, issue.0, pp.1434-1464, 2011.
DOI : 10.1214/EJP.v16-918
URL : https://hal.archives-ouvertes.fr/hal-00705764

R. Merton, Optimum consumption and portfolio rules in a continuous-time model, Journal of Economic Theory, vol.3, issue.4, pp.373-413, 1971.
DOI : 10.1016/0022-0531(71)90038-X

J. Neveu, Discrete-Parameter Martingales, English translation, 1975.

E. Pardoux, Filtrage non linéaire etéquationsetéquations aux dérivées partielles stochastiques associées, Lect. Notes in Math, vol.1464, pp.67-163, 1989.
DOI : 10.1007/bfb0085168

H. Pham and M. Quenez, Optimal Portfolio in Partially Observed Stochastic Volatility Models, The Annals of Applied Probability, vol.11, issue.1, pp.210-238, 2001.
DOI : 10.1214/aoap/998926991
URL : https://hal.archives-ouvertes.fr/hal-00693739

P. Protter, Stochastic integration and differential equations, 1990.

S. Roland, Partially observed jump diffusions, 2007.

J. Saas and U. Haussmann, Optimizing the terminal wealth under partial information: The drift process as a continuous time Markov chain, Finance and Stochastics, vol.8, issue.4, pp.553-577, 2004.
DOI : 10.1007/s00780-004-0132-9

S. Tang and X. Li, Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps, SIAM Journal on Control and Optimization, vol.32, issue.5, pp.1447-1475, 1994.
DOI : 10.1137/S0363012992233858