IDEAS home Printed from
   My bibliography  Save this article

Additional utility of insiders with imperfect dynamical information


  • José Corcuera


  • Peter Imkeller


  • Arturo Kohatsu-Higa


  • David Nualart



In this paper we consider a market driven by a Wiener process where there is an insider and a regular trader. The insider has privileged information which has been deformed by an independent noise vanishing as the revelation time approaches. At this time, the information of every trader is the same. We obtain the semimartingale decomposition of the original Wiener process under dynamical enlargement of the filtration, and we prove that if the rate at which the additional noise in the insider’s information vanishes is slow enough then there is no arbitrage and the additional utility of the insider is finite. Copyright Springer-Verlag Berlin/Heidelberg 2004

Suggested Citation

  • José Corcuera & Peter Imkeller & Arturo Kohatsu-Higa & David Nualart, 2004. "Additional utility of insiders with imperfect dynamical information," Finance and Stochastics, Springer, vol. 8(3), pages 437-450, August.
  • Handle: RePEc:spr:finsto:v:8:y:2004:i:3:p:437-450
    DOI: 10.1007/s00780-003-0119-y

    Download full text from publisher

    File URL:
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to search for a different version of it.


    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.

    Cited by:

    1. Caroline Hillairet & Ying Jiao, 2012. "Credit Risk with asymmetric information on the default threshold," Post-Print hal-00663136, HAL.
    2. Bruno Bouchard, 2005. "No-arbitrage in discrete-time markets with proportional transaction costs and general information structure," Papers math/0501045,
    3. Jos'e Manuel Corcuera & Giulia Di Nunno & Gergely Farkas & Bernt {O}ksendal, 2014. "A continuous auction model with insiders and random time of information release," Papers 1411.2835,, revised Mar 2018.
    4. Anne Eyraud-Loisel, 2013. "Quadratic hedging in an incomplete market derived by an influent informed investor," Post-Print hal-00450949, HAL.
    5. Kasper Larsen & Gordan Zitkovic, 2007. "On the semimartingale property via bounded logarithmic utility," Papers 0706.0468,
    6. Kohatsu-Higa, Arturo & Yamazato, Makoto, 2008. "Enlargement of filtrations with random times for processes with jumps," Stochastic Processes and their Applications, Elsevier, vol. 118(7), pages 1136-1158, July.
    7. Albina Danilova & Michael Monoyios & Andrew Ng, 2009. "Optimal investment with inside information and parameter uncertainty," Papers 0911.3117,, revised Feb 2010.
    8. Hillairet, Caroline, 2005. "Comparison of insiders' optimal strategies depending on the type of side-information," Stochastic Processes and their Applications, Elsevier, vol. 115(10), pages 1603-1627, October.
    9. Olfa Draouil & Bernt {O}ksendal, 2018. "Viable Insider Markets," Papers 1801.03720,
    10. Caroline Hillairet & Ying Jiao, 2010. "Information Asymmetry in Pricing of Credit Derivatives," Papers 1002.3256,
    11. Caroline Hillairet & Ying Jiao, 2010. "Information Asymmetry in Pricing of Credit Derivatives," Working Papers hal-00457456, HAL.


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:finsto:v:8:y:2004:i:3:p:437-450. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sonal Shukla) or (Rebekah McClure). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.