Market viability and martingale measures under partial information

DOI10.1007/s11009-014-9397-4zbMath1338.60121arXiv1302.4254OpenAlexW1965341502MaRDI QIDQ2340293

Claudio Fontana, Agnès Sulem, Bernt Øksendal

Publication date: 16 April 2015

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1302.4254

zbMATH Keywords

maximum principlebackward stochastic differential equationutility maximizationoptimal portfolioviabilitypartial informationfinancial market modelmartingale deflatorjump diffusionmartingale measures

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic models in economics (91B70) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Diffusion processes (60J60) Financial applications of other theories (91G80) Random measures (60G57) Measures of information, entropy (94A17)

Related Items

Dynamic robust duality in utility maximization, Optimal investment with intermediate consumption under no unbounded profit with bounded risk

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• On backward stochastic differential equations and strict local martingales
• On utility maximization in discrete-time financial market models
• Market viability via absence of arbitrage of the first kind
• Optimal investment under partial information
• Martingales and arbitrage in multiperiod securities markets
• Arbitrage and equilibrium in economies with infinitely many commodities
• The fundamental theorem of asset pricing for unbounded stochastic processes
• A general version of the fundamental theorem of asset pricing
• Price systems constructed by optimal dynamic portfolios.
• The numeraire portfolio in financial markets modeled by a multi-dimensional jump diffusion process
• The asymptotic elasticity of utility functions and optimal investment in incomplete markets
• Local martingales, arbitrage, and viability. Free snacks and cheap thrills
• Optimal trading strategy for an investor: the case of partial information
• Optimal investment in incomplete markets when wealth may become negative.
• Utility maximization with partial information
• Arbitrage possibilities in Bessel processes and their relations to local martingales
• The importance of strictly local martingales; applications to radial Ornstein-Uhlenbeck processes
• Forward-backward stochastic differential games and stochastic control under model uncertainty
• The numéraire portfolio in semimartingale financial models
• Utility maximization in incomplete markets
• Portfolio Optimization and Martingale Measures
• Diffusion-Based Models for Financial Markets Without Martingale Measures
• Financial Mathematics
• Asymptotics of utility from terminal wealth for partially observed portfolios
• A Maximum Principle for Stochastic Control with Partial Information
• Utility maximization in a jump market model
• Quasimartingales, martingales locales, semimartingales et filtration naturelle
• SOME REMARKS ON ARBITRAGE AND PREFERENCES IN SECURITIES MARKET MODELS
• Applied stochastic control of jump diffusions
• Financial markets theory. Equilibrium, efficiency and information
• White noise generalizations of the Clark-Haussmann-Ocone theorem with application to mathematical finance