Martingale representation theorems for initially enlarged filtrations
Stochastic Processes and their Applications, 2000, vol. 89, issue 1, 101-116
In this paper we transfer martingale representation theorems from some given filtration to an initially enlarged filtration , 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 at his disposal.
Keywords: Initial; enlargement; of; filtrations; Martingale; preserving; measure; Martingale; representation; Utility; maximization; Insider; trading (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (14) Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:89:y:2000:i:1:p:101-116
Ordering information: This journal article can be ordered from
https://shop.elsevie ... _01_ooc_1&version=01
Access Statistics for this article
Stochastic Processes and their Applications is currently edited by T. Mikosch
More articles in Stochastic Processes and their Applications from Elsevier
Series data maintained by Dana Niculescu ().