Information uncertainty related to marked random times and optimal investment
Pricing of Securities
2017-03-02 v2 Probability
Mathematical Finance
Abstract
We study an optimal investment problem under default risk where related information such as loss or recovery at default is considered as an exogenous random mark added at default time. Two types of agents who have different levels of information are considered. We first make precise the insider's information flow by using the theory of enlargement of filtrations and then obtain explicit logarithmic utility maximization results to compare optimal wealth for the insider and the ordinary agent. MSC: 60G20, 91G40, 93E20
Keywords
Cite
@article{arxiv.1607.02743,
title = {Information uncertainty related to marked random times and optimal investment},
author = {Ying Jiao and Idris Kharroubi},
journal= {arXiv preprint arXiv:1607.02743},
year = {2017}
}