Information uncertainty related to marked random times and optimal investment

Ying Jiao (1) , Idris Kharroubi (2, 3)

1 SAF - Laboratoire de Sciences Actuarielle et Financière
2 CREST - Centre de Recherche en Économie et Statistique
3 CEREMADE - CEntre de REcherches en MAthématiques de la DEcision

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. MSC: 60G20, 91G40, 93E20

Mots clés: information uncertainty; marked random times; enlargement of filtrations; utility maximization

Domaines: Probabilités [math.PR]

Ying Jiao, Idris Kharroubi. Information uncertainty related to marked random times and optimal investment. Probability, Uncertainty and Quantitative Risk, 2018, 3 (1), pp.3. ⟨10.1186/s41546-018-0029-8⟩. ⟨hal-01343702v2⟩