caa a22 4500 605519455 CHVBK 20210128100730.0 cr unu---uuuuu 210128e20150301xx s 000 0 eng 10.1007/s11009-014-9397-4 doi (NATIONALLICENCE)springer-10.1007/s11009-014-9397-4 Market Viability and Martingale Measures under Partial Information [Elektronische Daten] [Claudio Fontana, Bernt Øksendal, Agnès Sulem] 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. Springer Science+Business Media New York, 2014 Optimal portfolio nationallicence Jump-diffusion nationallicence Partial information nationallicence Maximum principle nationallicence BSDE nationallicence Viability nationallicence Utility maximization nationallicence Martingale measure nationallicence Martingale deflator nationallicence Fontana Claudio INRIA Paris-Rocquencourt, Domaine de Voluceau, Rocquencourt, BP 105, 78153, Le Chesnay Cedex, France aut Øksendal Bernt Université Paris-Est, F-77455, Marne-la-Vallée, France aut Sulem Agnès INRIA Paris-Rocquencourt, Domaine de Voluceau, Rocquencourt, BP 105, 78153, Le Chesnay Cedex, France aut Methodology and Computing in Applied Probability Springer US; http://www.springer-ny.com 17/1(2015-03-01), 15-39 1387-5841 17:1<15 2015 17 11009 https://doi.org/10.1007/s11009-014-9397-4 text/html Onlinezugriff via DOI BK010053 XK010053 XK010000 Metadata rights reserved Springer special CC-BY-NC licence nationallicence 1 research-article jats NATIONALLICENCE NATIONALLICENCE NL-springer NATIONALLICENCE 856 40 https://doi.org/10.1007/s11009-014-9397-4 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Fontana Claudio INRIA Paris-Rocquencourt, Domaine de Voluceau, Rocquencourt, BP 105, 78153, Le Chesnay Cedex, France aut NATIONALLICENCE 700 1- Øksendal Bernt Université Paris-Est, F-77455, Marne-la-Vallée, France aut NATIONALLICENCE 700 1- Sulem Agnès INRIA Paris-Rocquencourt, Domaine de Voluceau, Rocquencourt, BP 105, 78153, Le Chesnay Cedex, France aut NATIONALLICENCE 773 0- Methodology and Computing in Applied Probability Springer US; http://www.springer-ny.com 17/1(2015-03-01), 15-39 1387-5841 17:1<15 2015 17 11009