Advances in Applied Probability
- Adv. in Appl. Probab.
- Volume 43, Number 1 (2011), 97-120.
Information: price and impact on general welfare and optimal investment. An anticipative stochastic differential game model
Within an anticipative stochastic calculus framework, we study a market game with asymmetric information and feedback effects. We derive necessary and sufficient criteria for the existence of Nash equilibria and study how general welfare is affected by the level of information. In particular, we show that, under certain conditions in a competitive environment, an increased level of information may in fact lower the level of general welfare, leading to the so-called Hirshleifer effect (see Hirshleifer (1971)). Finally, we determine equilibrium prices for particular pieces of information, by extending our market game with a pre-stage, in which information is traded.
Adv. in Appl. Probab., Volume 43, Number 1 (2011), 97-120.
First available in Project Euclid: 15 March 2011
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Mathematical Reviews number (MathSciNet)
Zentralblatt MATH identifier
Secondary: 60H07: Stochastic calculus of variations and the Malliavin calculus 60H10: Stochastic ordinary differential equations [See also 34F05] 60H30: Applications of stochastic analysis (to PDE, etc.)
Ewald, Christian-Oliver; Xiao, Yajun. Information: price and impact on general welfare and optimal investment. An anticipative stochastic differential game model. Adv. in Appl. Probab. 43 (2011), no. 1, 97--120. doi:10.1239/aap/1300198514. https://projecteuclid.org/euclid.aap/1300198514