Geodesic
On Existence of Local Martingale Measures for Insiders who Can Stop at Honest Times
Jakub Zwierz1
1 Mathematical Institute Wroc/law University Pl. Grunwaldzki 2/4 50-384 Wroc/law, Poland
Bulletin of the Polish Academy of Sciences. Mathematics, Tome 55 (2007) no. 2, pp. 183-192

Voir la notice de l'article provenant de la source Institute of Mathematics Polish Academy of Sciences

We consider a market with two types of agents with different levels of information. In addition to a regular agent, there is an insider whose additional knowledge consists of being able to stop at an honest time $\mit\Lambda$. We show, using the multiplicative decomposition of the Azéma supermartingale, that if the martingale part of the price process has the predictable representation property and $\mit\Lambda$ satisfies some mild assumptions, then there is no equivalent local martingale measure for the insider. This extends the results obtained by Imkeller to the continuous semimartingale setting and general honest times
DOI : 10.4064/ba55-2-9
Keywords: consider market types agents different levels information addition regular agent there insider whose additional knowledge consists being able stop honest time mit lambda using multiplicative decomposition supermartingale martingale part price process has predictable representation property mit lambda satisfies mild assumptions there equivalent local martingale measure insider extends results obtained imkeller continuous semimartingale setting general honest times

Jakub Zwierz 1

1 Mathematical Institute Wroc/law University Pl. Grunwaldzki 2/4 50-384 Wroc/law, Poland 
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Jakub Zwierz. On Existence of Local Martingale Measures
 for Insiders who Can Stop at Honest Times. Bulletin of the Polish Academy of Sciences. Mathematics, Tome 55 (2007) no. 2, pp. 183-192. doi: 10.4064/ba55-2-9

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