Canonical decomposition of linear transformations of two independent Brownian motions motivated by models of insider trading

DOI10.1016/S0304-4149(99)00057-5zbMath0996.60079OpenAlexW2011126376MaRDI QIDQ1613658

Marc Yor, Hans Föllmer, Ching-Tang Wu

Publication date: 29 August 2002

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4149(99)00057-5

zbMATH Keywords

Brownian motionSturm-Liouville equationenlargement of filtrationinsider tradingcanonical decompositionVolterra kernelsstochastic filtering theory

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items (14)

Informed traders' hedging with news arrivals ⋮ Gaussian random bridges and a geometric model for information equilibrium ⋮ Informational inefficiency in financial markets ⋮ Weak Dirichlet processes and generalized martingale problems ⋮ Insider Trading in Convergent Markets ⋮ Optimal Utility with Some Additional Information ⋮ Dynamic Markov bridges motivated by models of insider trading ⋮ Insiders' hedging in a jump diffusion model ⋮ An Anticipating Calculus Approach to the Utility Maximization of an Insider ⋮ Optimal Smooth Portfolio Selection for an Insider ⋮ Mutual information for stochastic differential equations driven by fractional Brownian motion ⋮ Information on jump sizes and hedging ⋮ Option hedging by an influential informed investor ⋮ PROGRESSIVE FILTRATION EXPANSIONS VIA A PROCESS, WITH APPLICATIONS TO INSIDER TRADING

Cites Work

• Grossissements de filtrations: exemples et applications. Séminaire de Calcul Stochastique 1982/83, Université Paris VI
• Representation of Gaussian processes equivalent to Wiener process
• Semimartingales gaussiennes — application au probleme de l'innovation
• Continuous Auctions and Insider Trading
• New results on the innovations problem for non-linear filtering
• Stochastic differential equations. An introduction with applications.
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