Convergence of the financial value of weak information for a sequence of discrete-time markets

Abstract

We examine weak anticipations in discrete-time and continuous-time financial markets consisting of one risk-free asset and multiple risky assets, defining a minimal probability measure associated with the anticipation that does not depend on the choice of a utility function. We then define the financial value of weak information in the discrete-time economies and show that these values converge to the financial value of weak information in the continuous-time economy in the case of a complete market.