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A Dirichlet structure on a Wiener-Poisson space. Application to the enlargement of filtration. (Formes de Dirichlet sur un espace de Wiener-Poisson. Application au grossissement de filtration.) (French) Zbl 0985.91027

Azéma, J. (ed.) et al., Séminaire de Probabilités XXXIV. Berlin: Springer. Lect. Notes Math. 1729, 198-217 (2000).
A Dirichlet structure is built on a Wiener-Poisson space. A simple condition is given on a terminal random variable such that the initial enlargement of the natural filtration can be done. We study the optimal financial strategy of an insider trader enlarging the filtration generated by the asset prices with his anticipating information.
For the entire collection see [Zbl 0940.00007].

MSC:

91B28 Finance etc. (MSC2000)
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