Martingale representation theorems for initially enlarged filtrations

Stochastic Processes and their Applications

Volumn 89, Issue 1, 2000, Pages 101-116

  Amendinger, Jürgen ^a  

^a HypoVereinsbank AG   (Germany)

Author keywords

60H05; 90A09; 90A35; 90A43; Initial enlargement of filtrations; Insider trading; Martingale preserving measure; Martingale representation; Primary 60G44; Secondary 60H30; Utility maximization

Indexed keywords

EID: 0041914536     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4149(00)00015-6     Document Type: Article

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