Initial enlargement in a Markov chain market model

DOI10.1142/S021949371100336XzbMATH Open1239.91064arXiv1108.2623OpenAlexW1586525790MaRDI QIDQ3173997FDOQ3173997

Authors: Dario Gasbarra, José Igor Morlanes, Esko Valkeila 

Publication date: 11 October 2011

Published in: Stochastics and Dynamics (Search for Journal in Brave)

Abstract: Enlargement of filtrations is a classical topic in the general theory of stochastic processes. This theory has been applied to stochastic finance in order to analyze models with insider information. In this paper we study initial enlargement in a Markov chain market model, introduced by R. Norberg. In the enlargened filtration several things can happen: some of the jumps times can be accessible or predictable, but in the orginal filtration all the jumps times are totally inaccessible. But even if the jumps times change to accessible or predictable, the insider does not necessarily have arbitrage possibilities.

Full work available at URL: https://arxiv.org/abs/1108.2623

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zbMATH Keywords

insider informationjump timesinitial enlargementMarkov chain market model

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Auctions, bargaining, bidding and selling, and other market models (91B26) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic analysis (60H99)

Cites Work

• The Shannon information of filtrations and the additional logarithmic utility of insiders
• Title not available (Why is that?)
• Semi-martingales et grossissement d'une filtration
• Models for Insider Trading with Finite Utility
• Enlargement of Filtration and Additional Information in Pricing Models: Bayesian Approach
• On filtration enlargements and purely discontinuous martingales

Cited In (1)

• Successive enlargement of filtrations and application to insider information

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