scientific article; zbMATH DE number 1500591

MaRDI QIDQ4501613zbMATH OpenFDO

Authors Laurent Denis, A. Grorud, Monique Pontier

Publication date 9 November 2000

Full work available at URL http://www.numdam.org/item?id=SPS_2000__34__198_0, https://eudml.org/doc/114037

zbMATH Keywords

Dirichlet formenlargement of filtrationinformed investorWiener-Poisson space

Mathematics Subject Classification ID

Recommendations

• Forme de Dirichlet sur un espace de Poisson. (Dirichlet form on a Poisson space)
• Successive enlargement of filtrations and application to insider information
• Martingale representation theorems for initially enlarged filtrations.
• Logarithmic utility maximization for insiders in progressively enlarged filtrations

Cited in

(4)

• Forme de Dirichlet sur un espace de Poisson. (Dirichlet form on a Poisson space)
• Martingale representation theorems for initially enlarged filtrations.
• Free lunch and arbitrage possibilities in a financial market model with an insider.
• BSDEs driven by Lévy process with enlarged filtration and applications in finance

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