Additional Utility of Insiders with Imperfect Dynamical Information
نویسندگان
چکیده
منابع مشابه
Additional utility of insiders with imperfect dynamical information
In this paper we consider an insider with privileged information that is affected by an independent noise vanishing as the revelation time approaches. At this time, information is available to every trader. Our financial markets are based on Wiener space. In probabilistic terms we obtain an infinite dimensional extension of Jacod’s theorem to cover cases of progressive enlargement of filtration...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2003
ISSN: 1556-5068
DOI: 10.2139/ssrn.428203