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The financial value of a weak information on a financial market

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Abstract.

The results of [4] are extended under weaker assumptions to d-dimensional and possibly discontinuous processes and applied to the modelling of weak anticipations both on complete and incomplete financial markets. In the case of a complete market, we show that there exists a minimal probability measure associated with an anticipation. Remarkably, this minimal probability does not depend on the selected utility function. Throughout the paper, Markovian models are studied in details as canonical examples.

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Authors and Affiliations

  1. Laboratoire de Probabilités et Statistiques, Université Paul Sabatier Toulouse 3, 118 route de Narbonne, 31062, Toulouse Cedex 4, France

    Fabrice Baudoin

  2. Laboratoire de Probabilités et Modéles Aléatoires, CRS-UMR 7599, Universités de Paris VI & VII, 4 place Jussieu, Case 188, F-75252, Paris Cedex 05, France

    Laurent Nguyen-Ngoc

Authors
  1. Fabrice Baudoin
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  2. Laurent Nguyen-Ngoc
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Corresponding author

Correspondence to Fabrice Baudoin.

Additional information

Received: 1 September 2003,

Mathematics Subject Classification:

60G44, 60J25, 91B28, 91B42, 91B16

JEL Classification:

D82, G11

Manuscript received: June 2002; final version received: September 2003

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Baudoin, F., Nguyen-Ngoc, L. The financial value of a weak information on a financial market. Finance and Stochastics 8, 415–435 (2004). https://doi.org/10.1007/s00780-003-0116-1

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  • DOI: https://doi.org/10.1007/s00780-003-0116-1

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