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Martingale representation theorems for initially enlarged filtrations

Jürgen Amendinger

Stochastic Processes and their Applications, 2000, vol. 89, issue 1, 101-116

Abstract: 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)
Date: 2000
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Handle: RePEc:eee:spapps:v:89:y:2000:i:1:p:101-116