Additional logarithmic utility of an insider

Author:

Amendinger Jürgen,Imkeller Peter,Schweizer Martin

Publisher

Elsevier BV

Subject

Applied Mathematics,Modelling and Simulation,Statistics and Probability

Reference15 articles.

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3. Ansel, J.-P., Stricker, C. 1993b. Unicitéet existence de la Loi minimale. Séminaire de Probabilités XXVII, Lecture Notes in Mathematics, vol. 1557. Springer, Berlin, pp. 22–29.

4. The strong ergodic theorem for densities: generalized Shannon–McMillan–Breiman theorem;Barron;Ann. Probab.,1985

5. The existence of absolutely continuous local martingale measures;Delbaen;Ann. Appl. Probab.,1995

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