Martingale representation theorems for initially enlarged filtrations

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.

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Year of publication:	2000
Authors:	Amendinger, Jürgen
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 89.2000, 1, p. 101-116
Publisher:	Elsevier
Keywords:	Initial enlargement of filtrations Martingale preserving measure Martingale representation Utility maximization Insider trading

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008872634