Insider models with finite utility in markets with jumps

DOI10.1007/s00245-011-9137-xzbMath1237.91246MaRDI QIDQ649119

Makoto Yamazato, Arturo Kohatsu-Higa

Publication date: 30 November 2011

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00245-011-9137-x

zbMATH Keywords

enlargement of filtrations; asymmetric markets; markets driven by Lévy processes

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

91B24: Microeconomic theory (price theory and economic markets)

91G80: Financial applications of other theories

Related Items

Optimal investment and risk control for an insurer under inside information, Enlargement of filtrations with random times for processes with jumps, Arbitrage and utility maximization in market models with an insider

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