• Title of article

    Martingale representation theorems for initially enlarged filtrations

  • Author/Authors

    Amendinger، نويسنده , , Jürgen، نويسنده ,

  • Issue Information
    روزنامه با شماره پیاپی سال 2000
  • Pages
    16
  • From page
    101
  • To page
    116
  • Abstract
    In this paper we transfer martingale representation theorems from some given filtration F to an initially enlarged filtration G=F∨σ(G), where G is a random variable satisfying an equivalence assumption. We use then one of these theorems to solve the problem of maximizing the expected utility from both consumption and terminal wealth for an agent having the information flow G at his disposal.
  • Keywords
    Utility maximization , Insider trading , Martingale preserving measure , Martingale representation , Initial enlargement of filtrations
  • Journal title
    Stochastic Processes and their Applications
  • Serial Year
    2000
  • Journal title
    Stochastic Processes and their Applications
  • Record number

    1576669