Information uncertainty related to marked random times and optimal investment
Abstract ■■■ 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...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
SpringerOpen
2018-05-01
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| Series: | Probability, Uncertainty and Quantitative Risk |
| Subjects: | |
| Online Access: | http://link.springer.com/article/10.1186/s41546-018-0029-8 |