Insider models with finite utility in markets with jumps
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Publication:649119
DOI10.1007/s00245-011-9137-xzbMath1237.91246MaRDI 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
60G51: Processes with independent increments; Lévy processes
91B24: Microeconomic theory (price theory and economic markets)
91G80: Financial applications of other theories
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Optimal investment and risk control for an insurer under inside information, Enlargement of filtrations with random times for processes with jumps, Risk-sensitive portfolio optimization problem for a large trader with inside information, Arbitrage and utility maximization in market models with an insider, Log-optimal and numéraire portfolios for market models stopped at a random time
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