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

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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