Elliott, Robert J.; Jeanblanc, Monique - In: Computational Statistics 50 (1999) 3, pp. 475-492
An asset is considered whose logarithmic price is the sum of a drift term, a Brownian motion and jumps of a Poisson process. Various items of future information about the price process are considered available to an informed agent. The optimal attainable wealths of both informed and uninformed...