Dynamic Markov bridges motivated by models of insider trading

DOI10.1016/j.spa.2010.11.004zbMath1225.60072arXiv1202.2980MaRDI QIDQ550151

Umut Çetin, Albina Danilova, Luciano Campi

Publication date: 8 July 2011

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1202.2980

zbMATH Keywords

nonlinear filtering; insider trading; martingale problem; Markovian bridge

Mathematics Subject Classification ID

93E11: Filtering in stochastic control theory

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

60G44: Martingales with continuous parameter

91G80: Financial applications of other theories

60H05: Stochastic integrals

Related Items

Kyle--Back Equilibrium Models and Linear Conditional Mean-Field SDEs, KYLE–BACK’S MODEL WITH A RANDOM HORIZON, Equilibrium model with default and dynamic insider information, Generalized Gaussian bridges, Financial equilibrium with asymmetric information and random horizon

Cites Work

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