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Anticipation cancelled by a Girsanov transformation : a paradox on Wiener space · Study

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ArticleAnticipation cancelled by a Girsanov transformation : a paradox on Wiener space

Hans Föllmer1993

Article1993

Anticipation cancelled by a Girsanov transformation : a paradox on Wiener space

Hans Föllmer · Peter Imkeller

53 citations·0/0 files stored·French digital mathematics library (Numdam)

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Stochastic processes and financial applications Probability and Statistical Research Stochastic processes and statistical mechanics

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2001Rational Hedging and Valuation with Utility-Based Preferences 2003Modeling Anticipations on Financial Markets 2011Carthaginian enlargement of filtrations 2009Information, Expected Utility, and Portfolio Choice 2007Models for Insider Trading with Finite Utility 2011Optimal Trading Strategies Under Arbitrage 2006Enlargement of Filtration and Additional Information in Pricing Models: Bayesian Approach 2015The existence of dominating local martingale measures

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Year1993

Typearticle

Published1993-01-01

VenueFrench digital mathematics library (Numdam)

Languagefr

Citations53

Files0 public / 0

ShelfStochastic processes and financial applications

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openalex_workW2522789062

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