EXISTENCE OF AN EQUILIBRIUM WITH DISCONTINUOUS PRICES, ASYMMETRIC INFORMATION, AND NONTRIVIAL INITIAL σ‐FIELDS

DOI10.1111/J.0960-1627.2005.00212.XMaRDI QIDQ5464337zbMATH OpenOpenAlexFDO

Authors Caroline Hillairet

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

zbMATH Keywords

martingale representationutility maximizationinitial enlargement of filtrationsArrow-Debreu and Arrow-Radner equilibrium

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

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Cites work

• scientific article; zbMATH DE number 45955 (Why is no real title available?)
• A monetary value for initial information in portfolio optimization
• ASYMMETRIC INFORMATION IN A FINANCIAL MARKET WITH JUMPS
• Additional logarithmic utility of an insider
• Insider Trading in a Continuous Time Market Model
• Martingale representation theorems for initially enlarged filtrations.
• Point processes and queues. Martingale dynamics
• Sur l'int�grabilit� uniforme des martingales exponentielles

Cited in

(7)

• Viable insider markets
• Pricing rules under asymmetric information
• Existence of Walrasian equilibria with discontinuous, non-ordered, interdependent and price-dependent preferences
• Comparison of insiders' optimal strategies depending on the type of side-information
• Markovian Nash equilibrium in financial markets with asymmetric information and related forward-backward systems
• Portfolio optimization with insider's initial information and counterparty risk
• How does asymmetric information create market incompleteness?

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