Dynamic equilibrium with insider information and general uninformed agent utility
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Cites work
- Additional logarithmic utility of an insider
- American options with asymmetric information and reflected BSDE
- Anticipative portfolio optimization
- Backward uniqueness for general parabolic operators in the whole space
- Calcul stochastique d�pendant d'un param�tre
- Dynamic noisy rational expectations equilibrium with insider information
- Endogenous completeness of diffusion driven equilibrium markets
- Enlargement of Filtration and Additional Information in Pricing Models: Bayesian Approach
- Existence and uniqueness of Arrow-Debreu equilibria with consumptions in \(\mathbf{L}^0_+\)
- Existence of an Equilibrium for a Competitive Economy
- Financial markets in continuous time. Translated from the French by Anna Kennedy
- scientific article; zbMATH DE number 3907486 (Why is no real title available?)
- scientific article; zbMATH DE number 51724 (Why is no real title available?)
- scientific article; zbMATH DE number 1095739 (Why is no real title available?)
- scientific article; zbMATH DE number 3403582 (Why is no real title available?)
- Integral representation of martingales motivated by the problem of endogenous completeness in financial economics
- Martingale representation theorems for initially enlarged filtrations.
- Microeconomic theory
- Multi-asset noisy rational expectations equilibrium with contingent claims
- Necessary and sufficient conditions in the problem of optimal investment in incomplete markets
- On existence and uniqueness of equilibrium in a class of noisy rational expectations models
- On the aggregation of information in competitive markets
- On the Existence of General Equilibrium for a Competitive Market
- Rational Expectations Equilibrium: Generic Existence and the Information Revealed by Prices
- Stochastic calculus for finance. II: Continuous-time models.
- The asymptotic elasticity of utility functions and optimal investment in incomplete markets
- The strong predictable representation property in initially enlarged filtrations under the density hypothesis
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