TY - GEN A1 - Ankirchner, Stefan A1 - Imkeller, Peter T1 - Finite utility on financial markets with asymmetric information and the theorem of Bichteler-Dellacherie-Mokobodsky N2 - We consider financial markets with two kinds of small traders: regular traders who perceive the asset price process S through its natural filtration, and insid- ers who possess some information advantage which makes the filtrations through which they perceive the evolution of the market richer. The basic question we dis- cuss is the link between (NFLVR), the semimartingale property of S viewed from the agent’s perspective, and bounded expected utility. We show that whenever an agent’s expected utility is finite, S is a semimartingale with a Doob-Meyer decomposition featuring a martingale part and an information drift. The ex- pected utility gain of an insider with respect to a regular trader is calculated in a completely general setting. In particular, for the logarithmic utility function, utility gain is a function of the relative information drift alone, regardless of the completeness of the market. Y1 - 2004 UR - https://opus4.kobv.de/opus4-matheon/frontdoor/index/index/docId/47 UR - https://nbn-resolving.org/urn:nbn:de:0296-matheon-474 ER -