EXISTENCE OF AN EQUILIBRIUM WITH DISCONTINUOUS PRICES, ASYMMETRIC INFORMATION, AND NONTRIVIAL INITIAL σ‐FIELDS

DOI10.1111/j.0960-1627.2005.00212.xzbMath1109.91026OpenAlexW2004656588MaRDI QIDQ5464337

Caroline Hillairet

Publication date: 17 August 2005

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.0960-1627.2005.00212.x

zbMATH Keywords

utility maximizationmartingale representationinitial enlargement of filtrationsArrow-Debreu and Arrow-Radner equilibrium

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items (5)

Viable insider markets ⋮ Portfolio optimization with insider's initial information and counterparty risk ⋮ Pricing rules under asymmetric information ⋮ How does asymmetric information create market incompleteness? ⋮ Comparison of insiders' optimal strategies depending on the type of side-information

Cites Work

• Unnamed Item
• Point processes and queues. Martingale dynamics
• A monetary value for initial information in portfolio optimization
• Additional logarithmic utility of an insider
• Martingale representation theorems for initially enlarged filtrations.
• [https://portal.mardi4nfdi.de/wiki/Publication:4155579 Sur l'int�grabilit� uniforme des martingales exponentielles]
• Insider Trading in a Continuous Time Market Model
• ASYMMETRIC INFORMATION IN A FINANCIAL MARKET WITH JUMPS

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