Title of article :
Martingale representation theorems for initially enlarged filtrations
Author/Authors :
Amendinger، نويسنده , , Jürgen، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2000
Pages :
16
From page :
101
To page :
116
Abstract :
In this paper we transfer martingale representation theorems from some given filtration F to an initially enlarged filtration G=F∨σ(G), where G is a random variable satisfying an equivalence assumption. We use then one of these theorems to solve the problem of maximizing the expected utility from both consumption and terminal wealth for an agent having the information flow G at his disposal.
Keywords :
Utility maximization , Insider trading , Martingale preserving measure , Martingale representation , Initial enlargement of filtrations
Journal title :
Stochastic Processes and their Applications
Serial Year :
2000
Journal title :
Stochastic Processes and their Applications
Record number :
1576669
Link To Document :
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