Insider problems in markets driven by semi

• Project/Area Number: 22540145
• Research Category: Grant-in-Aid for Scientific Research (C)
• Allocation Type: Single-year Grants
• Section: 一般
• Research Field: General mathematics (including Probability theory/Statistical mathematics)
• Research Institution: University of the Ryukyus
• Principal Investigator: YAMAZATO Makoto 琉球大学, 理学部, 教授 (00015900)
• Project Period (FY): 2010 – 2012
• Project Status: Completed (Fiscal Year 2012)
• Budget Amount: ¥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)
• 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

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.

Research Products

• [Journal Article] Absolute continuity conditions for multivariate infinitely divisible distributions and their applications (2012)
  • Author(s): Makoto Yamazat
  • Journal Title: Theory of Probability and its Applications Volume: Vol. 56 Pages: 299-312
  • Peer Reviewed
• [Journal Article] Remarks on a convergence theorem for stochastic processes on Definfinity (2012)
  • Author(s): Makoto Yamazato
  • Journal Title: having monotone sample paths, Cooperative Research Report Volume: Vol. 275 Pages: 74-86
  • Peer Reviewed
• [Journal Article] Insider models with finite utility in jumps (2012)
  • Author(s): A. Kohatsu-Higa, M.Yamazato
  • Journal Title: Applied Mathematics Optimizations Volume: Vol. 64 Pages: 17-2
  • Peer Reviewed
• [Journal Article] Absolute continuity conditions for multivariate infinitely divisible distributions and their applications (2012)
  • Author(s): Makoto Yamazato
  • Journal Title: Theory of Probability and its Applications Volume: 56 Issue: 2 Pages: 299-312
  • DOI: 10.1137/s0040585x97985406
  • Peer Reviewed
• [Journal Article] Remarks on a convergence theorem for stochastic processes on D[0, infinity) having monotone sample paths (2012)
  • Author(s): M.Yamazato
  • Journal Title: IMS Cooperative Research Report Pages: 74-86
• [Journal Article] Absolute contmultidimensional infinitely distributions with an applCooperative Research Report (2011)
  • Author(s): Makoto Yamazato
  • Volume: 262
  • Pages: 80-93
  • Peer Reviewed
• [Journal Article] Insider models with finite utility in markets with jumps (2011)
  • Author(s): A.Kohatsu-Higa, M.Yamazato
  • Journal Title: Applied Mathematics & Optimization Volume: 64 Pages: 217-255
  • Peer Reviewed
• [Journal Article] Absolute continuity of multidimensional infinitely divisible distributions with an application (2011)
  • Author(s): Makoto Yamazato
  • Journal Title: Cooperative Research Report Volume: 262 Pages: 80-93
• [Presentation] Remarks on a convergence thstochastic processes on (2011)
  • Organizer: 能分布に関する諸問題
  • Place of Presentation: 統計数理研究所(東京)
  • Year and Date: 2011-11-11
• [Presentation] Remarks on a convergence theorem for stochastic processes on [D, ￥infty) having monotone sample paths (2011)
  • Author(s): Makoto Yamazato
  • Organizer: Problems on infinitely divisible processes
  • Place of Presentation: 統計数理研究所
  • Year and Date: 2011-11-11
• [Presentation] Absolute continuity of multidinfinitely divisible distribuan application (2010)
  • Organizer: 無限分解可能過程に関する諸問題
  • Place of Presentation: 統計数理研究所(東京)
  • Year and Date: 2010-10-22
• [Presentation] Absolute continuity of multidimensional infinitely divisible distributions with an application (2010)
  • Author(s): Makoto Yamazato
  • Organizer: 無限分解可能過程に関する諸問題(15)
  • Place of Presentation: 統計数理研究所(東京都)
  • Year and Date: 2010-10-22
• [Presentation] Absolute continuity of multidinfinitely divisible distribuan application (2010)
  • Year and Date: 2010-04-15