Insider models with finite utility in markets with jumps

DOI10.1007/s00245-011-9137-xzbMath1237.91246OpenAlexW2046811638MaRDI QIDQ649119

Makoto Yamazato, Arturo Kohatsu-Higa

Publication date: 30 November 2011

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00245-011-9137-x

zbMATH Keywords

enlargement of filtrationsasymmetric marketsmarkets driven by Lévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Microeconomic theory (price theory and economic markets) (91B24) Financial applications of other theories (91G80)

Related Items (5)

Risk-sensitive portfolio optimization problem for a large trader with inside information ⋮ Log-optimal and numéraire portfolios for market models stopped at a random time ⋮ Optimal investment and risk control for an insurer under inside information ⋮ Arbitrage and utility maximization in market models with an insider ⋮ Enlargement of filtrations with random times for processes with jumps

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