Entropy and additional utility of a discrete information disclosed progressively in time

TL;DR

This paper extends the study of information disclosure in stochastic processes by defining entropy for progressively revealed information and demonstrating its role in martingale stability and utility calculation.

Contribution

It introduces a new framework for entropy of time-progressively disclosed information and proves its sufficiency for martingale space stability.

Findings

Finiteness of entropy ensures martingale space stability in progressive information settings.

Calculated additional logarithmic utility for discrete information disclosed over time.

Extended classical results to a dynamic, time-evolving information context.

Abstract

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.