No-arbitrage criteria for financial markets with transaction costs and incomplete information (Q2463713)

The authors suppose that an investor acts in a market with frictions and has a limited access to the information flow. Mathematically it is modelled by a subfiltration of the main filtration. The aim of the paper is to develop a mathematical scheme covering major models of financial markets with transaction costs and to give a criterion for the robust no-arbitrage property and a hedging theorem for the situation with partial information. In particular, models with a numéraire are included. An alternative coding of investor's order is used, and the linear structure of the problem leads to a transparent presentation of the results.