A Dirichlet structure on a Wiener-Poisson space. Application to the enlargement of filtration (Q4501613)
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scientific article; zbMATH DE number 1500591
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| English | A Dirichlet structure on a Wiener-Poisson space. Application to the enlargement of filtration |
scientific article; zbMATH DE number 1500591 |
Statements
9 November 2000
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enlargement of filtration
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Dirichlet form
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informed investor
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Wiener-Poisson space
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0.8014523386955261
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0.7287664413452148
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0.7280994057655334
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0.7267463803291321
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A Dirichlet structure on a Wiener-Poisson space. Application to the enlargement of filtration (English)
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A Dirichlet structure is built on a Wiener-Poisson space. A simple condition is given on a terminal random variable such that the initial enlargement of the natural filtration can be done. We study the optimal financial strategy of an insider trader enlarging the filtration generated by the asset prices with his anticipating information. For the entire collection see [Zbl 0940.00007].
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