INITIAL ENLARGEMENT IN A MARKOV CHAIN MARKET MODEL

被引：0

作者：

Gasbarra, Dario ^{[1
]}

Morlanes, Jose Igor ^{[2
]}

Valkeila, Esko ^{[2
]}

机构：

[1] Univ Jyvaskyla, Dept Math & Stat, Jyvaskyla 40014, Finland

[2] Aalto Univ, Dept Math & Syst Anal, FI-00076 Aalto, Finland

来源：

STOCHASTICS AND DYNAMICS | 2011年 / 11卷 / 2-3期

基金：

芬兰科学院;

关键词：

Markov chain market model; initial enlargement; jump times; insider information;

D O I：

10.1142/S021949371100336X

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

Enlargement of filtrations is a classical topic in the general theory of stochastic processes. This theory has been applied to stochastic finance in order to analyze models with insider information. In this paper we study initial enlargement in a Markov chain market model, introduced by Norberg. In the enlarged filtration, several things can happen: some of the jumps times can be accessible or predictable, but in the original filtration all the jumps times are totally inaccessible. But even if the jumps times change to accessible or predictable, the insider does not necessarily have arbitrage possibilities.

引用

页码：389 / 413

页数：25

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