Insider problems in markets driven by semi
| Project/Area Number |
22540145
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
General mathematics (including Probability theory/Statistical mathematics)
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| Research Institution | University of the Ryukyus |
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Principal Investigator |
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| Project Period (FY) |
2010 – 2012
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| Project Status |
Completed (Fiscal Year 2012)
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| Budget Amount *help |
¥3,900,000 (Direct Cost: ¥3,000,000、Indirect Cost: ¥900,000)
Fiscal Year 2012: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
Fiscal Year 2011: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
Fiscal Year 2010: ¥1,560,000 (Direct Cost: ¥1,200,000、Indirect Cost: ¥360,000)
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| Keywords | 確率論 / セミマルチンゲール / filtration の拡大 / インサイダー / 相対エントロピー / filtrationの拡大 / 最適期待効用 |
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| Research Abstract |
Semimartingale decomposition under a filtration larger than an insider's filtration is shown. It is shown that optimal logarithmic utility of an insider coincides with minimal relative entropy of base probability measure with respect to probability measures in a certain class.
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Report
(4 results)
Research Products
(13 results)
