The Shannon information of filtrations and the additional logarithmic utility of insiders

DOI10.1214/009117905000000648zbMath1098.60065arXivmath/0503013OpenAlexW2119509789MaRDI QIDQ2496964

Peter Imkeller, Stefan Ankirchner, Steffen Dereich

Publication date: 26 July 2006

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0503013

zbMATH Keywords

entropyutility maximizationenlargement of filtrationdifferential entropyheterogeneous informationinformation differenceinsider model

Mathematics Subject Classification ID

Utility theory (91B16) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Measures of information, entropy (94A17)

Related Items (33)

BSDEs and Enlargement of Filtration ⋮ Drift operator in a viable expansion of information flow ⋮ INITIAL ENLARGEMENT IN A MARKOV CHAIN MARKET MODEL ⋮ MODELING OF FINANCIAL MARKETS WITH INSIDE INFORMATION IN CONTINUOUS TIME ⋮ A discontinuous mispricing model under asymmetric information ⋮ Gaussian random bridges and a geometric model for information equilibrium ⋮ Log-optimal and numéraire portfolios for market models stopped at a random time ⋮ What if we knew what the future brings? Optimal investment for a frontrunner with price impact ⋮ A Time Before Which Insiders Would not Undertake Risk ⋮ The exp-UIV for Markets with Partial Information and Complete Information ⋮ Arbitrage and utility maximization in market models with an insider ⋮ Perpetual American Standard and Lookback Options with Event Risk and Asymmetric Information ⋮ The existence of dominating local martingale measures ⋮ Optimal investment with inside information and parameter uncertainty ⋮ The insider trading problem in a jump-binomial model ⋮ No-arbitrage under a class of honest times ⋮ Expansion of a filtration with a stochastic process: the information drift ⋮ Initial enlargement of filtrations and entropy of Poisson compensators ⋮ Numéraire-invariant preferences in financial modeling ⋮ On a connection between information and group lattices ⋮ MODULATED INFORMATION FLOWS IN FINANCIAL MARKETS ⋮ On filtration enlargements and purely discontinuous martingales ⋮ Intensity process and compensator: A new filtration expansion approach and the Jeulin-Yor theorem ⋮ The continuous behavior of the numéraire portfolio under small changes in information structure, probabilistic views and investment constraints ⋮ Change of filtrations and mean–variance hedging ⋮ Monotone utility convergence ⋮ Insider information and its relation with the arbitrage condition and the utility maximization problem ⋮ The value of informational arbitrage ⋮ High resolution quantization and entropy coding of jump processes ⋮ Causal optimal transport and its links to enlargement of filtrations and continuous-time stochastic optimization ⋮ The De Vylder–Goovaerts conjecture holds within the diffusion limit ⋮ Metrics on the set of semimartingale filtrations ⋮ Optimal portfolio liquidation with additional information

Cites Work

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