Market Viability and Martingale Measures under Partial Information
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| 024 | 7 | 0 | |a 10.1007/s11009-014-9397-4 |2 doi |
| 035 | |a (NATIONALLICENCE)springer-10.1007/s11009-014-9397-4 | ||
| 245 | 0 | 0 | |a Market Viability and Martingale Measures under Partial Information |h [Elektronische Daten] |c [Claudio Fontana, Bernt Øksendal, Agnès Sulem] |
| 520 | 3 | |a We consider a financial market model with a single risky asset whose price process evolves according to a general jump-diffusion with locally bounded coefficients and where market participants have only access to a partial information flow. For any utility function, we prove that the partial information financial market is locally viable, in the sense that the optimal portfolio problem has a solution up to a stopping time, if and only if the (normalised) marginal utility of the terminal wealth generates a partial information equivalent martingale measure (PIEMM). This equivalence result is proved in a constructive way by relying on maximum principles for stochastic control problems under partial information. We then characterize a global notion of market viability in terms of partial information local martingale deflators (PILMDs). We illustrate our results by means of a simple example. | |
| 540 | |a Springer Science+Business Media New York, 2014 | ||
| 690 | 7 | |a Optimal portfolio |2 nationallicence | |
| 690 | 7 | |a Jump-diffusion |2 nationallicence | |
| 690 | 7 | |a Partial information |2 nationallicence | |
| 690 | 7 | |a Maximum principle |2 nationallicence | |
| 690 | 7 | |a BSDE |2 nationallicence | |
| 690 | 7 | |a Viability |2 nationallicence | |
| 690 | 7 | |a Utility maximization |2 nationallicence | |
| 690 | 7 | |a Martingale measure |2 nationallicence | |
| 690 | 7 | |a Martingale deflator |2 nationallicence | |
| 700 | 1 | |a Fontana |D Claudio |u INRIA Paris-Rocquencourt, Domaine de Voluceau, Rocquencourt, BP 105, 78153, Le Chesnay Cedex, France |4 aut | |
| 700 | 1 | |a Øksendal |D Bernt |u Université Paris-Est, F-77455, Marne-la-Vallée, France |4 aut | |
| 700 | 1 | |a Sulem |D Agnès |u INRIA Paris-Rocquencourt, Domaine de Voluceau, Rocquencourt, BP 105, 78153, Le Chesnay Cedex, France |4 aut | |
| 773 | 0 | |t Methodology and Computing in Applied Probability |d Springer US; http://www.springer-ny.com |g 17/1(2015-03-01), 15-39 |x 1387-5841 |q 17:1<15 |1 2015 |2 17 |o 11009 | |
| 856 | 4 | 0 | |u https://doi.org/10.1007/s11009-014-9397-4 |q text/html |z Onlinezugriff via DOI |
| 898 | |a BK010053 |b XK010053 |c XK010000 | ||
| 900 | 7 | |a Metadata rights reserved |b Springer special CC-BY-NC licence |2 nationallicence | |
| 908 | |D 1 |a research-article |2 jats | ||
| 949 | |B NATIONALLICENCE |F NATIONALLICENCE |b NL-springer | ||
| 950 | |B NATIONALLICENCE |P 856 |E 40 |u https://doi.org/10.1007/s11009-014-9397-4 |q text/html |z Onlinezugriff via DOI | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Fontana |D Claudio |u INRIA Paris-Rocquencourt, Domaine de Voluceau, Rocquencourt, BP 105, 78153, Le Chesnay Cedex, France |4 aut | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Øksendal |D Bernt |u Université Paris-Est, F-77455, Marne-la-Vallée, France |4 aut | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Sulem |D Agnès |u INRIA Paris-Rocquencourt, Domaine de Voluceau, Rocquencourt, BP 105, 78153, Le Chesnay Cedex, France |4 aut | ||
| 950 | |B NATIONALLICENCE |P 773 |E 0- |t Methodology and Computing in Applied Probability |d Springer US; http://www.springer-ny.com |g 17/1(2015-03-01), 15-39 |x 1387-5841 |q 17:1<15 |1 2015 |2 17 |o 11009 | ||