Enlargement of filtrations with random times for processes with jumps
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Publication:939392
DOI10.1016/j.spa.2007.07.014zbMath1157.60040OpenAlexW2030465282MaRDI QIDQ939392
Arturo Kohatsu-Higa, Makoto Yamazato
Publication date: 22 August 2008
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spa.2007.07.014
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Related Items (2)
Bond prices under information asymmetry and a short rate with instantaneous feedback ⋮ Insider models with finite utility in markets with jumps
Cites Work
- Insider models with finite utility in markets with jumps
- Time reversal on Lévy processes
- Additional utility of insiders with imperfect dynamical information
- Additional logarithmic utility of an insider
- Free lunch and arbitrage possibilities in a financial market model with an insider.
- Exercises in Probability
- Insider Trading in a Continuous Time Market Model
- Anticipative portfolio optimization
- ASYMMETRIC INFORMATION IN A FINANCIAL MARKET WITH JUMPS
- Random times at which insiders can have free lunches
- UTILITY MAXIMIZATION IN AN INSIDER INFLUENCED MARKET
- On Continuity Properties of Infinitely Divisible Distribution Functions
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