Information and semimartingales.

MaRDI QIDQ3562499zbMATH OpenFDO

Authors Stefan Ankirchner

Publication date 21 May 2010

Full work available at URL http://d-nb.info/976510391

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Generalizations of martingales (60G48) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Recommendations

• The Shannon information of filtrations and the additional logarithmic utility of insiders
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Cited in

(12)

• The value of informational arbitrage
• Causal optimal transport and its links to enlargement of filtrations and continuous-time stochastic optimization
• Structure condition under initial enlargement of filtration
• Pathwise superreplication via Vovk's outer measure
• The Shannon information of filtrations and the additional logarithmic utility of insiders
• Monotone utility convergence
• Some Remarks on Enlargement of Filtration and Finance
• Expansion of a filtration with a stochastic process: the information drift
• Initial enlargement of filtrations and entropy of Poisson compensators
• Pathwise stochastic integrals for model free finance
• The existence of dominating local martingale measures
• On filtration enlargements and purely discontinuous martingales

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