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Existence Of An Equilibrium With Discontinuous Prices, Asymmetric Information, And Nontrivial Initial Σ‐Fields

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  • Caroline Hillairet

Abstract

In this paper, we solve the problems of optimization and equilibrium on a continuous‐time financial market with discontinuous prices, in which agents have different random endowments and different information on the structure and future behavior of the prices. Our purpose is to go over and to extend the work of Pikovsky and Karatzas (1996) by using the theory developed by Amendinger (2000) about martingale representation theorems for initially enlarged filtrations, and to generalize the results in the case of discontinuous prices.

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  • Caroline Hillairet, 2005. "Existence Of An Equilibrium With Discontinuous Prices, Asymmetric Information, And Nontrivial Initial Σ‐Fields," Mathematical Finance, Wiley Blackwell, vol. 15(1), pages 99-117, January.
    • Handle: RePEc:bla:mathfi:v:15:y:2005:i:1:p:99-117
    DOI: 10.1111/j.0960-1627.2005.00212.x
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    Cited by:

    1. Caroline Hillairet & Ying Jiao, 2015. "Portfolio optimization with insider’s initial information and counterparty risk," Finance and Stochastics, Springer, vol. 19(1), pages 109-134, January.
    2. Wassim Daher & V. Martins-da-Rocha & Yiannis Vailakis, 2007. "Asset market equilibrium with short-selling and differential information," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 32(3), pages 425-446, September.
    3. Anne Eyraud-Loisel, 2019. "How Does Asymmetric Information Create Market Incompleteness?," Post-Print hal-01998386, HAL.
    4. Hillairet, Caroline, 2005. "Comparison of insiders' optimal strategies depending on the type of side-information," Stochastic Processes and their Applications, Elsevier, vol. 115(10), pages 1603-1627, October.
    5. Anne Eyraud-Loisel, 2019. "How Does Asymmetric Information Create Market Incompleteness?," Methodology and Computing in Applied Probability, Springer, vol. 21(2), pages 531-538, June.
    6. Olfa Draouil & Bernt {O}ksendal, 2018. "Viable Insider Markets," Papers 1801.03720, arXiv.org.

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