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Information uncertainty related to marked random times and optimal investment

Jiao, Ying; Kharroubi, Idris (2018), Information uncertainty related to marked random times and optimal investment, Probability, Uncertainty and Quantitative Risk, 3, 3. 10.1186/s41546-018-0029-8

Type
Article accepté pour publication ou publié
External document link
https://hal.archives-ouvertes.fr/hal-01343702
Date
2018
Journal name
Probability, Uncertainty and Quantitative Risk
Volume
3
Number
3
Publisher
Springer
Publication identifier
Metadata
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Author(s)
Jiao, Ying
Kharroubi, Idris
Abstract (EN)
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.
Subjects / Keywords
information uncertainty; marked random times; enlargement of filtrations; utility maximization