Additional utility of insiders with imperfect dynamical information
type: Item
instance of: scholarly article
title: Additional utility of insiders with imperfect dynamical information
zbMATH Open document ID: 1064.60087
author: P. Imkeller
author: Arturo Kohatsu-Higa
author: David Nualart
author: José Manuel Corcuera
published in: Finance and Stochastics
publication date: 2005-05-20T00:00:00Z
full work available at URL: http://hdl.handle.net/10230/406
review text: The authors consider a market driven by a Wiener process where there is an insider and a regular trader. They propose to study situations in which the insider knows a functional of the underlying process deformed by an independent noise, which vanishes as revelation time \(T\) approaches. This has obvious relations with the actual evolution of information in markets. Mathematically, this shows the need to develop a dynamical enlargement of filtrations. Using Malliavin calculus, the authors obtain the semimartingale decomposition of the original Wiener process under such dynamical enlargement of filtration. Results in all examples state that if the rate at which blurring noise disappears is sufficiently slow, then there is a finite additional logarithmic utility and no arbitrage. Therefore, this allows a construction of a stable market where insiders and regular traders coexist.
reviewed by: Yuliya S. Mishura
Mathematics Subject Classification ID: 60G48
Mathematics Subject Classification ID: 60H07
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 91B26
zbMATH DE Number: 2169543
zbMATH Keywords: insider trading
zbMATH Keywords: enlargement of filtrations
zbMATH Keywords: Malliavin calculus
zbMATH Keywords: utility maximization
zbMATH Keywords: arbitrage
MaRDI profile type: Publication
OpenAlex ID: W3122865301
DOI: 10.1007/S00780-003-0119-Y
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description: scientific article; zbMATH DE number 2169543