Predictable representation property of some Hilbertian martingales.
El Kadiri, M. (2008)
Acta Mathematica Universitatis Comenianae. New Series
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Predictable representation property of some Hilbertian martingales.
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We consider a market with two types of agents with different levels of information. In addition to a regular agent, there is an insider whose additional knowledge consists of being able to stop at an honest time Λ. We show, using the multiplicative decomposition of the Azéma supermartingale, that if the martingale part of the price process has the predictable representation property and Λ satisfies some mild assumptions, then there is no equivalent local martingale measure for the insider....