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
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