Additional logarithmic utility of an insider

DOI10.1016/S0304-4149(98)00014-3zbMath0934.91020MaRDI QIDQ1805770

Peter Imkeller, Martin Schweizer, Jürgen Amendinger

Publication date: 18 November 1999

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

entropy; relative entropy; utility maximization; insider trading; initial enlargement of filtrations; security market

Mathematics Subject Classification ID

91B16: Utility theory

60H30: Applications of stochastic analysis (to PDEs, etc.)

60G44: Martingales with continuous parameter

94A17: Measures of information, entropy

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Malliavin's Calculus in Insider Models: Additional Utility and Free Lunches, An Anticipating Calculus Approach to the Utility Maximization of an Insider, MINIMAL VARIANCE HEDGING FOR INSIDER TRADING, Pricing rules under asymmetric information, Change of filtrations and mean–variance hedging, Optimal Smooth Portfolio Selection for an Insider, EXISTENCE OF AN EQUILIBRIUM WITH DISCONTINUOUS PRICES, ASYMMETRIC INFORMATION, AND NONTRIVIAL INITIAL σ‐FIELDS, Some results on quadratic hedging with insider trading, FINANCIAL MARKET MODEL WITH INFLUENTIAL INFORMED INVESTORS, Optimal Utility with Some Additional Information, Asymmetric information in fads models, Pricing and hedging in the presence of extraneous risks, Enlargement of filtrations with random times for processes with jumps, Conditioned stochastic differential equations: theory, examples and application to finance., Martingale representation theorems for initially enlarged filtrations., Free lunch and arbitrage possibilities in a financial market model with an insider., Utility maximizing entropy and the second law of thermodynamics., Intensity process and compensator: A new filtration expansion approach and the Jeulin-Yor theorem, Competitive market equilibrium under asymmetric information, The Shannon information of filtrations and the additional logarithmic utility of insiders, BSDEs driven by Lévy process with enlarged filtration and applications in finance, Comparison of insiders' optimal strategies depending on the type of side-information, Studying anticipation on financial markets by BSDE, ASYMMETRICAL INFORMATION AND INCOMPLETE MARKETS

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