28-31 August 2018
Angers - France
Europe/Paris timezone

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

28 Aug 2018, 16:00
Angers - France

Angers - France


Anna Aksamit (University of Sydney)


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.

Primary author

Anna Aksamit (University of Sydney)

Presentation Materials

There are no materials yet.
Your browser is out of date!

Update your browser to view this website correctly. Update my browser now