Additional logarithmic utility of an insider

Stochastic Processes and their Applications

Volumn 75, Issue 2, 1998, Pages 263-286

  Amendinger, Jürgen ^a   Imkeller, Peter ^b   Schweizer, Martin ^a  

^a TECHNISCHE UNIVERSITÄT BERLIN   (Germany)

^b HUMBOLDT UNIVERSITY   (Germany)

Author keywords

60H30; 90A35; 94A17; Entropy; Initial enlargement of filtrations; Insider trading; Primary 90A09; Relative entropy; Secondary 60G44; Utility maximization

Indexed keywords

EID: 0009048031     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4149(98)00014-3     Document Type: Article

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