11 Maggio, 2017 11:15

Sezione di Probabilità e Statistica Matematica

Information uncertainty related to marked random times and optimal investment

Prof. Idris Kharroubi,  Università Paris Dauphine

Sala Maestrale, Tender , piano -1

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. This talk is based on a joint work with Ying Jiao (Université Lyon I).