INITIAL ENLARGEMENT IN A MARKOV CHAIN MARKET MODEL

DOI10.1142/S021949371100336XzbMath1239.91064arXiv1108.2623OpenAlexW1586525790MaRDI QIDQ3173997

Dario Gasbarra, José Igor Morlanes, Esko Valkeila

Publication date: 11 October 2011

Published in: Stochastics and Dynamics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1108.2623

zbMATH Keywords

insider informationjump timesinitial enlargementMarkov chain market model

Mathematics Subject Classification ID

Cites Work

• Unnamed Item
• On filtration enlargements and purely discontinuous martingales
• Semi-martingales et grossissement d'une filtration
• The Shannon information of filtrations and the additional logarithmic utility of insiders
• Models for Insider Trading with Finite Utility
• Enlargement of Filtration and Additional Information in Pricing Models: Bayesian Approach

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