Browsing by Author "Ankirchner, Stefan"

Now showing items 1-3 of 3

2005-07-22Dissertation

Information and semimartingales

Ankirchner, Stefan

Die stochastische Analysis gibt Methoden zur Erfassung und Beschreibung von zufälligen numerischen Prozessen an die Hand. Die Beschreibungen hängen dabei sehr stark von der Informationsstruktur ab, die den Prozessen in ...
2005-05-27Buch

The Shannon Information of Filtrations and the Additional Logarithmic Utility of Insiders

Ankirchner, Stefan; Imkeller, Peter; Dereich, Steffen

The background for the general mathematical link between utility and information theory investigated in this paper is a simple financial market model with two kinds of small traders: less informed traders and insiders, ...
2005-05-27Buch

Utility Duality under Additional Information

Ankirchner, Stefan

The utility maximisation problem is considered for investors with anticipative additional information. We distinguish between models with conditional measures and models with enlarged filtrations. The dual functions of the ...