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scientific article; zbMATH DE number 1500591

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Publication:4501613
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zbMATH Open0985.91027MaRDI QIDQ4501613FDOQ4501613


Authors: Laurent Denis, A. Grorud, Monique Pontier Edit this on Wikidata


Publication date: 9 November 2000


Full work available at URL: http://www.numdam.org/item?id=SPS_2000__34__198_0

Title of this publication is not available (Why is that?)



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


zbMATH Keywords

enlargement of filtrationDirichlet formWiener-Poisson spaceinformed investor


Mathematics Subject Classification ID



Cited In (4)

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





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