Equilibrium model with default and dynamic insider information

DOI10.1007/s00780-012-0196-xzbMath1270.91034MaRDI QIDQ354195

Umut Çetin, Albina Danilova, Luciano Campi

Publication date: 18 July 2013

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2434/751151

zbMATH Keywords

equilibrium; insider trading; default time; defaultable claim; dynamic Bessel bridge; dynamic information

Mathematics Subject Classification ID

93E11: Filtering in stochastic control theory

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

91B24: Microeconomic theory (price theory and economic markets)

60G44: Martingales with continuous parameter

60H05: Stochastic integrals

91B44: Economics of information

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