IDEAS home Printed from https://ideas.repec.org/r/eee/spapps/v89y2000i1p101-116.html
   My bibliography  Save this item

Martingale representation theorems for initially enlarged filtrations

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Jerome Detemple & Marcel Rindisbacher & Scott Robertson, 2020. "Dynamic Noisy Rational Expectations Equilibrium With Insider Information," Econometrica, Econometric Society, vol. 88(6), pages 2697-2737, November.
  2. 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.
  3. Prakash Chakraborty & Kiseop Lee, 2022. "Bond Prices Under Information Asymmetry and a Short Rate with Instantaneous Feedback," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 613-634, June.
  4. Nicole El Karoui & Monique Jeanblanc & Ying Jiao, 2016. "Dynamics of multivariate default system in random environment," Working Papers hal-01205753, HAL.
  5. Oliver Janke, 2016. "Utility Maximization and Indifference Value under Risk and Information Constraints for a Market with a Change Point," Papers 1610.08644, arXiv.org.
  6. Geoff Lindsell, 2022. "Convergence of the financial value of weak information for a sequence of discrete-time markets," Papers 2205.05133, arXiv.org.
  7. Eyraud-Loisel, Anne, 2005. "Backward stochastic differential equations with enlarged filtration: Option hedging of an insider trader in a financial market with jumps," Stochastic Processes and their Applications, Elsevier, vol. 115(11), pages 1745-1763, November.
  8. Huy N. Chau & Andrea Cosso & Claudio Fontana, 2018. "The value of informational arbitrage," Papers 1804.00442, arXiv.org.
  9. Acciaio, Beatrice & Fontana, Claudio & Kardaras, Constantinos, 2016. "Arbitrage of the first kind and filtration enlargements in semimartingale financial models," Stochastic Processes and their Applications, Elsevier, vol. 126(6), pages 1761-1784.
  10. Paolo Tella, 2022. "On the Propagation of the Weak Representation Property in Independently Enlarged Filtrations: The General Case," Journal of Theoretical Probability, Springer, vol. 35(4), pages 2194-2216, December.
  11. Nicole El Karoui & Monique Jeanblanc & Ying Jiao, 2017. "Dynamics of multivariate default system in random environment," Post-Print hal-01205753, HAL.
  12. Beatrice Acciaio & Claudio Fontana & Constantinos Kardaras, 2014. "Arbitrage of the first kind and filtration enlargements in semimartingale financial models," Papers 1401.7198, arXiv.org, revised May 2015.
  13. Huy N. Chau & Andrea Cosso & Claudio Fontana, 2020. "The value of informational arbitrage," Finance and Stochastics, Springer, vol. 24(2), pages 277-307, April.
  14. Nicole El Karoui & Monique Jeanblanc & Ying Jiao, 2015. "Dynamics of multivariate default system in random environment," Papers 1509.09133, arXiv.org, revised Nov 2016.
  15. Fontana, Claudio, 2018. "The strong predictable representation property in initially enlarged filtrations under the density hypothesis," Stochastic Processes and their Applications, Elsevier, vol. 128(3), pages 1007-1033.
  16. 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.
  17. Caroline HILLAIRET & Cody HYNDMAN & Ying JIAO & Renjie WANG, 2017. "Trading against disorderly liquidation of a large position under asymmetric information and market impact," Working Papers 2017-76, Center for Research in Economics and Statistics.
  18. Acciaio, Beatrice & Fontana, Claudio & Kardaras, Constantinos, 2016. "Arbitrage of the first kind and filtration enlargements in semimartingale financial models," LSE Research Online Documents on Economics 65150, London School of Economics and Political Science, LSE Library.
  19. Bénézet, Cyril & Chassagneux, Jean-François & Richou, Adrien, 2022. "Switching problems with controlled randomisation and associated obliquely reflected BSDEs," Stochastic Processes and their Applications, Elsevier, vol. 144(C), pages 23-71.
  20. Jorge A. León & Reyla Navarro & David Nualart, 2003. "An Anticipating Calculus Approach to the Utility Maximization of an Insider," Mathematical Finance, Wiley Blackwell, vol. 13(1), pages 171-185, January.
  21. Caroline Hillairet & Ying Jiao, 2010. "Information Asymmetry in Pricing of Credit Derivatives," Papers 1002.3256, arXiv.org.
  22. El Otmani, Mohamed, 2009. "BSDEs driven by Lévy process with enlarged filtration and applications in finance," Statistics & Probability Letters, Elsevier, vol. 79(1), pages 44-49, January.
  23. Bielecki, Tomasz R. & Jakubowski, Jacek & Niewęgłowski, Mariusz, 2017. "Conditional Markov chains: Properties, construction and structured dependence," Stochastic Processes and their Applications, Elsevier, vol. 127(4), pages 1125-1170.
  24. Caroline Hillairet & Cody Hyndman & Ying Jiao & Renjie Wang, 2016. "Trading against disorderly liquidation of a large position under asymmetric information and market impact," Papers 1610.01937, arXiv.org.
  25. Anne Eyraud-Loisel, 2005. "Backward stochastic differential equations with enlarged filtration: Option hedging of an insider trader in a financial market with jumps," Post-Print hal-01298905, HAL.
  26. Scott Robertson, 2023. "Equilibrium with Heterogeneous Information Flows," Papers 2304.01272, arXiv.org, revised Mar 2024.
  27. El Karoui, Nicole & Jeanblanc, Monique & Jiao, Ying, 2017. "Dynamics of multivariate default system in random environment," Stochastic Processes and their Applications, Elsevier, vol. 127(12), pages 3943-3965.
  28. Maxim Bichuch & Stephan Sturm, 2014. "Portfolio optimization under convex incentive schemes," Finance and Stochastics, Springer, vol. 18(4), pages 873-915, October.
  29. Jerome Detemple & Scott Robertson, 2022. "Dynamic Equilibrium with Insider Information and General Uninformed Agent Utility," Papers 2211.15573, arXiv.org, revised Mar 2024.
  30. Ying Jiao & Idris Kharroubi, 2016. "Information uncertainty related to marked random times and optimal investment," Papers 1607.02743, arXiv.org, revised Mar 2017.
  31. Claudio Fontana, 2015. "The strong predictable representation property in initially enlarged filtrations under the density hypothesis," Papers 1508.03282, arXiv.org, revised Jun 2017.
  32. Gapeev, Pavel V. & Jeanblanc, Monique, 2024. "On the construction of conditional probability densities in the Brownian and compound Poisson filtrations," LSE Research Online Documents on Economics 121059, London School of Economics and Political Science, LSE Library.
  33. Geoff Lindsell, 2022. "Convergence of Optimal Expected Utility for a Sequence of Discrete-Time Markets in Initially Enlarged Filtrations," Papers 2203.08859, arXiv.org, revised Mar 2022.
  34. H'el`ene Halconruy, 2021. "The insider problem in the trinomial model: a discrete-time jump process approach," Papers 2106.15208, arXiv.org, revised Sep 2023.
  35. Peter Imkeller & Nicolas Perkowski, 2015. "The existence of dominating local martingale measures," Finance and Stochastics, Springer, vol. 19(4), pages 685-717, October.
  36. Antonella Calzolari & Barbara Torti, 2022. "A Note on the Strong Predictable Representation Property and Enlargement of Filtration," Mathematics, MDPI, vol. 10(10), pages 1-12, May.
  37. Elhiwi, Majdi, 2014. "Default barrier intensity model for credit risk evaluation," Statistics & Probability Letters, Elsevier, vol. 95(C), pages 125-131.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.