EXISTENCE OF AN EQUILIBRIUM WITH DISCONTINUOUS PRICES, ASYMMETRIC INFORMATION, AND NONTRIVIAL INITIAL σ‐FIELDS
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Publication:5464337
DOI10.1111/j.0960-1627.2005.00212.xzbMath1109.91026OpenAlexW2004656588MaRDI QIDQ5464337
Publication date: 17 August 2005
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.0960-1627.2005.00212.x
utility maximizationmartingale representationinitial enlargement of filtrationsArrow-Debreu and Arrow-Radner equilibrium
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Related Items (5)
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Cites Work
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- Point processes and queues. Martingale dynamics
- A monetary value for initial information in portfolio optimization
- Additional logarithmic utility of an insider
- Martingale representation theorems for initially enlarged filtrations.
- [https://portal.mardi4nfdi.de/wiki/Publication:4155579 Sur l'int�grabilit� uniforme des martingales exponentielles]
- Insider Trading in a Continuous Time Market Model
- ASYMMETRIC INFORMATION IN A FINANCIAL MARKET WITH JUMPS
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