Optimal Utility with Some Additional Information

DOI10.1080/SAP-200050086zbMath1084.60043OpenAlexW2045204688MaRDI QIDQ5707903

Dewen Xiong, Zhong-Xing Ye

Publication date: 25 November 2005

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/sap-200050086

zbMATH Keywords

stochastic filteringutility optimizationmartingale method

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44)

Cites Work

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• Canonical decomposition of linear transformations of two independent Brownian motions motivated by models of insider trading
• Additional logarithmic utility of an insider
• Optimal trading strategy for an investor: the case of partial information
• Optimal portfolio in partially observed stochastic volatility models.
• Martingale representation theorems for initially enlarged filtrations.
• Free lunch and arbitrage possibilities in a financial market model with an insider.
• Utility maximization with partial information
• On Models of Default Risk
• Insider Trading in a Continuous Time Market Model
• Anticipative portfolio optimization

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