EXISTENCE OF AN EQUILIBRIUM WITH DISCONTINUOUS PRICES, ASYMMETRIC INFORMATION, AND NONTRIVIAL INITIAL σ‐FIELDS
type: Item
instance of: scholarly article
title: EXISTENCE OF AN EQUILIBRIUM WITH DISCONTINUOUS PRICES, ASYMMETRIC INFORMATION, AND NONTRIVIAL INITIAL σ‐FIELDS
zbMATH Open document ID: 1109.91026
published in: Mathematical Finance
publication date: 2005-08-17T00:00:00Z
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 91B26
zbMATH DE Number: 2195374
zbMATH Keywords: initial enlargement of filtrations
zbMATH Keywords: utility maximization
zbMATH Keywords: Arrow-Debreu and Arrow-Radner equilibrium
zbMATH Keywords: martingale representation
author: Caroline Hillairet
MaRDI profile type: Publication
full work available at URL: j.0960-1627.2005.00212.x
OpenAlex ID: W2004656588
cites work: Martingale representation theorems for initially enlarged filtrations.
cites work: Additional logarithmic utility of an insider
cites work: A monetary value for initial information in portfolio optimization
cites work: Point processes and queues. Martingale dynamics
cites work: ASYMMETRIC INFORMATION IN A FINANCIAL MARKET WITH JUMPS
cites work: Insider Trading in a Continuous Time Market Model
cites work: Sur l'int�grabilit� uniforme des martingales exponentielles
cites work: Q3996259
DOI: 10.1111/J.0960-1627.2005.00212.X
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description: scientific article; zbMATH DE number 2195374