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Article Dans Une Revue Methodology and Computing in Applied Probability Année : 2015

Market viability and martingale measures under partial information

B. Oksendal
  • Fonction : Auteur
A. Sulem
  • Fonction : Auteur

Résumé

We consider a financial market model with a single risky asset whose price process evolves according to a general jump-diffusion with locally bounded coefficients and where market participants have only access to a partial information flow. For any utility function, we prove that the partial information financial market is locally viable, in the sense that the optimal portfolio problem has a solution up to a stopping time, if and only if the (normalised) marginal utility of the terminal wealth generates a partial information equivalent martingale measure (PIEMM). This equivalence result is proved in a constructive way by relying on maximum principles for stochastic control problems under partial information. We then characterize a global notion of market viability in terms of partial information local martingale deflators (PILMDs). We illustrate our results by means of a simple example.

Dates et versions

hal-01171646 , version 1 (06-07-2015)

Identifiants

Citer

C. Fontana, B. Oksendal, A. Sulem. Market viability and martingale measures under partial information. Methodology and Computing in Applied Probability, 2015, 17 (1), pp.15-39. ⟨10.1007/s11009-014-9397-4⟩. ⟨hal-01171646⟩
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