Author： Baudoin Fabrice
Publisher： Springer Publishing Company
ISSN： 0949-2984
Source： Finance and Stochastics, Vol.8, Iss.3, 2004-08, pp. : 415-435
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Abstract
The results of [4] are extended under weaker assumptions to d-dimensional and possibly discontinuous processes and applied to the modelling of weak anticipations both on complete and incomplete financial markets. In the case of a complete market, we show that there exists a minimal probability measure associated with an anticipation. Remarkably, this minimal probability does not depend on the selected utility function. Throughout the paper, Markovian models are studied in details as canonical examples.
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