Equilibrium model with default and dynamic insider information
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Publication:354195
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
equilibrium; insider trading; default time; defaultable claim; dynamic Bessel bridge; dynamic information
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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