Finite utility on financial markets with asymmetric information and structure properties of the price dynamics
DOI10.1016/J.ANIHPB.2004.03.008zbMATH Open1115.91024OpenAlexW2139768402MaRDI QIDQ2485322FDOQ2485322
Authors: Stefan Ankirchner, P. Imkeller 
Publication date: 4 August 2005
Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)
Full work available at URL: http://www.numdam.org/item?id=AIHPB_2005__41_3_479_0
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semimartingaleenlargement of filtrationinsider tradingarbitragefree lunch with vanishing risk(NFLVR)finite expected utilityinformation driftstochastic integrator
Generalizations of martingales (60G48) Stochastic integrals (60H05) Financial applications of other theories (91G80) Optimal stochastic control (93E20)
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- Time resolution of risk and asymmetric information: An application to financial market
- On arbitrages arising with honest times
- Metrics on the set of semimartingale filtrations
- Financial markets with asymmetric information: information drift, additional utility and entropy
- Log-optimal and numéraire portfolios for market models stopped at a random time
- On the semimartingale property of discounted asset-price processes
- Monotone utility convergence
- Modeling of financial markets with inside information in continuous time
- How non-arbitrage, viability and numéraire portfolio are related
- The Shannon information of filtrations and the additional logarithmic utility of insiders
- On stochastic calculus related to financial assets without semimartingales
- Finite bubbles with short sale constraints and asymmetric information
- The value of informational arbitrage
- Change of filtrations and mean–variance hedging
- Repeated games with asymmetric information and random price fluctuations at finance markets
- Insider information and its relation with the arbitrage condition and the utility maximization problem
- On the semimartingale property via bounded logarithmic utility
- Progressive filtration expansions via a process, with applications to insider trading
- Utility maximization under a shortfall risk constraint
- Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs
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