Insider problems in markets driven by semi

2012 Fiscal Year Final Research Report

• 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
• Keywords: 確率論

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 contmultidimensional infinitely distributions with an applCooperative Research Report (2011)
  • Author(s): Makoto Yamazato
  • Volume: 262
  • Pages: 80-93
  • Peer Reviewed
• [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] 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 multidinfinitely divisible distribuan application (2010)
  • Year and Date: 2010-04-15