Kyle--Back Equilibrium Models and Linear Conditional Mean-Field SDEs
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Publication:4610157
DOI10.1137/15M102558XzbMath1390.60216arXiv1711.03223OpenAlexW2963880898MaRDI QIDQ4610157
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Publication date: 5 April 2018
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1711.03223
conditional mean-field SDEsreference measuresoptimal closed-loop systemKyle-Back equilibriumstrategic insider trading
Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Signal detection and filtering (aspects of stochastic processes) (60G35) Financial applications of other theories (91G80)
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