Martingale representation theorems for initially enlarged filtrations.

DOI10.1016/S0304-4149(00)00015-6zbMath1045.60038WikidataQ127579745 ScholiaQ127579745MaRDI QIDQ1877525

Jürgen Amendinger

Publication date: 7 September 2004

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

zbMATH Keywords

martingale representationinsider informationmartingale preserving measureinitially enlarged filtration

Mathematics Subject Classification ID

Related Items (42)

Structure condition under initial enlargement of filtration ⋮ Arbitrage of the first kind and filtration enlargements in semimartingale financial models ⋮ Informed traders' hedging with news arrivals ⋮ MODELING OF FINANCIAL MARKETS WITH INSIDE INFORMATION IN CONTINUOUS TIME ⋮ Bond prices under information asymmetry and a short rate with instantaneous feedback ⋮ The chaotic-representation property for a class of normal martingales ⋮ Backward stochastic differential equations with Markov chains and related asymptotic properties ⋮ Martingale representations in progressive enlargement by the reference filtration of a semi-martingale: a note on the multidimensional case ⋮ MARTINGALE REPRESENTATIONS IN PROGRESSIVE ENLARGEMENT BY MULTIVARIATE POINT PROCESSES ⋮ Dynamics of multivariate default system in random environment ⋮ The existence of dominating local martingale measures ⋮ The insider trading problem in a jump-binomial model ⋮ Trading against disorderly liquidation of a large position under asymmetric information and market impact ⋮ Utility maximization under risk constraints and incomplete information for a market with a change point ⋮ Default barrier intensity model for credit risk evaluation ⋮ Portfolio optimization with insider's initial information and counterparty risk ⋮ Some results on quadratic hedging with insider trading ⋮ FINANCIAL MARKET MODEL WITH INFLUENTIAL INFORMED INVESTORS ⋮ Optimal Utility with Some Additional Information ⋮ The strong predictable representation property in initially enlarged filtrations under the density hypothesis ⋮ Conditional Markov chains: properties, construction and structured dependence ⋮ Portfolio optimization under convex incentive schemes ⋮ Pricing rules under asymmetric information ⋮ Insiders' hedging in a jump diffusion model ⋮ An Anticipating Calculus Approach to the Utility Maximization of an Insider ⋮ BSDEs driven by Lévy process with enlarged filtration and applications in finance ⋮ Generalized Gaussian bridges ⋮ Information uncertainty related to marked random times and optimal investment ⋮ EXISTENCE OF AN EQUILIBRIUM WITH DISCONTINUOUS PRICES, ASYMMETRIC INFORMATION, AND NONTRIVIAL INITIAL σ‐FIELDS ⋮ Information on jump sizes and hedging ⋮ The value of informational arbitrage ⋮ INFORMATION ASYMMETRY IN PRICING OF CREDIT DERIVATIVES ⋮ Switching problems with controlled randomisation and associated obliquely reflected BSDEs ⋮ Optimal insider control and semimartingale decompositions under enlargement of filtration ⋮ Successive enlargement of filtrations and application to insider information ⋮ BSDEs with random terminal time under enlarged filtration. American-style options hedging by an insider ⋮ Enlargement of filtration and predictable representation property for semi-martingales ⋮ Projections of martingales in enlargements of Brownian filtrations under Jacod's equivalence hypothesis ⋮ Comparison of insiders' optimal strategies depending on the type of side-information ⋮ Backward stochastic differential equations with enlarged filtration: Option hedging of an insider trader in a financial market with jumps ⋮ On the propagation of the weak representation property in independently enlarged filtrations: the general case ⋮ Studying anticipation on financial markets by BSDE

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