MODELING OF FINANCIAL MARKETS WITH INSIDE INFORMATION IN CONTINUOUS TIME
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Publication:3173998
DOI10.1142/S0219493711003371zbMath1237.91245MaRDI QIDQ3173998
Arturo Kohatsu-Higa, Salvador Ortiz-Latorre
Publication date: 11 October 2011
Published in: Stochastics and Dynamics (Search for Journal in Brave)
Variational inequalities (49J40) Microeconomic theory (price theory and economic markets) (91B24) Generalizations of martingales (60G48) Optimal stochastic control (93E20) Financial applications of other theories (91G80)
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Arbitrage of the first kind and filtration enlargements in semimartingale financial models ⋮ Expected utility maximization for an insurer with investment and risk control under inside information
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