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. 2022 Nov 27:1-26.
doi: 10.1007/s10479-022-05060-0. Online ahead of print.

Anticipative information in a Brownian-Poisson market

Bernardo D'Auria #  1 , Jose A Salmeron #  2
Affiliations

Anticipative information in a Brownian-Poisson market

Bernardo D'Auria et al. Ann Oper Res. .

Abstract

The anticipative information refers to some information about future events that may be disclosed in advance. This information may regard, for example, financial assets and their future trends. In our paper, we assume the existence of some anticipative information in a market whose risky asset dynamics evolve according to a Brownian motion and a Poisson process. Using Malliavin calculus and filtration enlargement techniques, we derive the information drift of the mentioned processes and, both in the pure jump case and in the mixed one, we compute the additional expected logarithmic utility. Many examples are shown, where the anticipative information is related to some conditions that the constituent processes or their running maximum may verify, in particular, we show new examples considering Bernoulli random variables.

Keywords: Clark–Ocone formula; Insider information; Malliavin calculus; Optimal portfolio; Value of the information.

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Conflict of interest statement

Conflict of interestThe authors declare no conflicts of interest in this paper.

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