Linear Bayesian equilibrium in insider trading with a random time under partial observations

DOI10.3934/MATH.2021772MaRDI QIDQ2142902zbMATH OpenOpenAlexFDO

Authors Kai Xiao, Yonghui Zhou

Publication date 30 May 2022

Published in AIMS Mathematics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.3934/math.2021772

zbMATH Keywords

Bayesian equilibriumHJB equationinsider tradingpartial observationrandom time

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Optimal stochastic control (93E20)

Cites work

• Continuous Auctions and Insider Trading
• Continuous auctions and insider trading: uniqueness and risk aversion
• Dynamic Markov bridges motivated by models of insider trading
• scientific article; zbMATH DE number 1546853 (Why is no real title available?)
• scientific article; zbMATH DE number 1546925 (Why is no real title available?)
• Information and complexity in control systems: A tutorial
• Insider trading equilibrium in a market with memory
• Insider trading in an equilibrium model with default: a passage from reduced-form to structural modelling
• Insider trading with a random deadline
• Insider trading, stochastic liquidity, and equilibrium prices
• Kyle-Back equilibrium models and linear conditional mean-field SDEs
• Strategic insider trading equilibrium: a filter theory approach
• The impact of public information on insider trading

Cited in

(1)

• Study on different risk appetites and market structures insider trading under partially observation

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