At the end of the 1970s, Jean Jacod, Thierry Jeulin and Marc Yor started a systematic study
of enlargement of filtration which focuses on the properties of stochastic processes under a …

The purpose of this paper is to present a general stochastic calculus approach to insider
trading. We consider a market driven by a standard Brownian motion B(t) on a filtered …

The martingale part in the semimartingale decomposition of a Brownian motion with respect
to an enlargement of its filtration, is an anticipative mapping of the given Brownian motion. In …

For non-storable commodities forward looking information about market conditions is not
necessarily incorporated in today's prices, and the standard assumption that the information …

In this paper we review a particular connection between information theory and group
theory. We formalize the notions of information elements and information lattices, first …

This survey reviews filtration enlargement models in view of insider trading. Although
filtration enlargement aptly models insiders' informational advantage, the theoretical results …

An asymmetric information model is introduced for the situation in which there is a small
agent who is more susceptible to the flow of information in the market than the general …

An optimal investment problem is solved for an insider who has access to noisy information
related to a future stock price, but who does not know the stock price drift. The drift is filtered …

Many real-world processes are trajectories that may be regarded as continuous-time"
functional data". Examples include patients' biomarker concentrations, environmental …

This paper quantifies the interplay between the no-arbitrage notion of no unbounded profit
with bounded risk (NUPBR) and additional progressive information generated by a random …