Entropy and additional utility of a discrete information disclosed progressively in time
Fuente:
arXiv
Saved in:
| Main Author: | |
|---|---|
| Format: | Preprint |
| Published: |
2026
|
| Subjects: | |
| Online Access: | |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1866918408243642368 |
|---|---|
| author | Aksamit, Anna |
| author_facet | Aksamit, Anna |
| contents | The additional information carried by an enlarged filtration and its measurement was studied by several authors. Already Meyer (Sur un theoreme de J. Jacod, 1978) and Yor (Entropie d'une partition, et grossissement initial d'une filtration, 1985), investigated stability of martingale spaces with respect to initial enlargement with atomic sigma-field. We extend these considerations to the case where information is disclosed progressively in time. We define the entropy of such information and we prove that its finiteness is enough for stability of some martingale spaces in progressive setting. Finally we calculate additional logarithmic utility of a discrete information disclosed progressively in time. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2603_24266 |
| institution | arXiv |
| publishDate | 2026 |
| record_format | arxiv |
| spellingShingle | Entropy and additional utility of a discrete information disclosed progressively in time Aksamit, Anna Probability The additional information carried by an enlarged filtration and its measurement was studied by several authors. Already Meyer (Sur un theoreme de J. Jacod, 1978) and Yor (Entropie d'une partition, et grossissement initial d'une filtration, 1985), investigated stability of martingale spaces with respect to initial enlargement with atomic sigma-field. We extend these considerations to the case where information is disclosed progressively in time. We define the entropy of such information and we prove that its finiteness is enough for stability of some martingale spaces in progressive setting. Finally we calculate additional logarithmic utility of a discrete information disclosed progressively in time. |
| title | Entropy and additional utility of a discrete information disclosed progressively in time |
| topic | Probability |
| url | https://arxiv.org/abs/2603.24266 |