Information uncertainty related to marked random times and optimal investment

Ying Jiao; Idris Kharroubi

doi:10.1186/s41546-018-0029-8

Article Contents

2018, Volume 3: 3. Doi: 10.1186/s41546-018-0029-8

This volume Previous Article Path-dependent backward stochastic Volterra integral equations with jumps, differentiability and duality principle Next Article Arbitrage-free pricing of derivatives in nonlinear market models

Information uncertainty related to marked random times and optimal investment

Ying Jiao¹ and
Idris Kharroubi^2, ,

1. Université Claude Bernard-Lyon 1, Institut de Science Financière et d'Assurances, 50 Avenue Tony Garnier, 69007 Lyon, France;
2. Sorbonne Université, Sorbonne Paris Cité, CNRS, Laboratoire de Probabilités Statistique et Modelisation, LPSM, F-75005 Paris, France

Idris Kharroubi, idris.kharroubi@sorbonne-universite.fr

Received: January 18, 2017

Revised: April 17, 2018

Published: September 2020

The authors are grateful to the anonymous referees for their careful reading and their many insightful comments and suggestions.

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Abstract

We study an optimal investment problem under default risk where related information such as loss or recovery at default is considered as an exogenous random mark added at default time. Two types of agents who have different levels of information are considered. We first make precise the insider's information flow by using the theory of enlargement of filtrations and then obtain explicit logarithmic utility maximization results to compare optimal wealth for the insider and the ordinary agent.

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Mathematics Subject Classification: 60G20;91G40;93E20.

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