论文标题
最初扩大过滤的一系列离散时间市场的最佳预期效用的融合
Convergence of Optimal Expected Utility for a Sequence of Discrete-Time Markets in Initially Enlarged Filtrations
论文作者
论文摘要
在本文中，我们扩展了克雷普斯（Kreps）的猜想，即经典的黑人choles-merton（BSM）经济中的最佳预期效用是最初扩大过滤的一系列离散时间经济体的最佳预期实用性的限制，从而在“强大”中最初的滤过中汇聚在BSM经济中。第n个离散时间经济是由缩放的n-Step随机步行产生的，该步行是基于平均0，方差1和有界支持的未量化随机变量。此外，知情的内幕人士知道每个功能都会产生扩大的逐步通道。当消费者的效用功能U的渐近弹性严格少于1时，我们确认KREPS在最初扩大过滤中的猜想。
In this paper, we extend Kreps' conjecture that optimal expected utility in the classic Black-Scholes-Merton (BSM) economy is the limit of optimal expected utility for a sequence of discrete-time economies in initially enlarged filtrations converge to the BSM economy in an initially enlarged filtration in a "strong" sense. The n-th discrete-time economy is generated by a scaled n-step random walk, based on an unscaled random variable with mean 0, variance 1, and bounded support. Moreover, the informed insider knows each functional generating the enlarged filtrations path-by-path. We confirm Kreps' conjecture in initially enlarged filtrations when the consumer's utility function U has asymptotic elasticity strictly less than one.
