Abstract
A Dirichlet structure is built on a Wiener-Poisson space. A simple condition is given on a terminal random variable such that the initial enlargement of the natural filtration can be done. We study the optimal financial strategy of an insider trader enlarging the filtration generated by the assets prices with his anticipating information.
Keywords
- Dirichlet Form
- Martingale Locale
- Wiener Space
- Mouvement Brownien
- Time Market Model
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Denis, L., Grorud, A., Pontier, M. (2000). Formes de Dirichlet sur un Espace de Wiener-Poisson. Application au grossissement de filtration. In: Azéma, J., Ledoux, M., Émery, M., Yor, M. (eds) Séminaire de Probabilités XXXIV. Lecture Notes in Mathematics, vol 1729. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0103804
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DOI: https://doi.org/10.1007/BFb0103804
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