28-31 août 2018
Angers - France
Fuseau horaire Europe/Paris

Entropy and additional utility of a discrete information disclosed progressively in time

28 août 2018 à 16:00
30m
Angers - France

Angers - France

Orateur

Anna Aksamit (University of Sydney)

Description

The additional information carried by enlarged filtration and its measurement was studied by several authors. Already Meyer (Sur un theoreme de J. Jacod, 1978) and Yor (Entropie d'une partition, et grossissement initial d'une filtration, 1985), investigated stability of martingale spaces with respect to initial enlargement with atomic sigma-field. We extend these considerations to the case where information is disclosed progressively in time. We define the entropy of such information and we prove that its finiteness is enough for stability of some martingale spaces in progressive setting. Finally we calculate additional logarithmic utility of a discrete information disclosed progressively in time.

Auteur principal

Anna Aksamit (University of Sydney)

Documents de présentation

Aucun document.
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