On Existence of Local Martingale Measures for Insiders who Can Stop at Honest Times

DOI10.4064/ba55-2-9zbMath1128.60055OpenAlexW2039395201MaRDI QIDQ5293310

Jakub Zwierz

Publication date: 29 June 2007

Published in: Bulletin of the Polish Academy of Sciences Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4064/ba55-2-9

zbMATH Keywords

equivalent martingale measureinsider tradingprogressive enlargement of filtrationshonest timeNFLVR

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44)

Related Items (6)

Arbitrage of the first kind and filtration enlargements in semimartingale financial models ⋮ No-arbitrage up to random horizon for quasi-left-continuous models ⋮ On arbitrages arising with honest times ⋮ Progressive enlargements of filtrations with pseudo-honest times ⋮ Characterisation of honest times and optional semimartingales of class-\((\Sigma)\) ⋮ PROGRESSIVE FILTRATION EXPANSIONS VIA A PROCESS, WITH APPLICATIONS TO INSIDER TRADING

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