Multidimensional Kyle-Back model with a risk averse informed trader

DOI10.1137/21M1457059arXiv2111.01957OpenAlexW3210328256MaRDI QIDQ6382017FDOQ6382017

Authors: Shreya Bose, Ibrahim Ekren 

Publication date: 2 November 2021

Abstract: We study the continuous time Kyle-Back model with a risk averse informed trader.We show that in a market with multiple assets and non-Gaussian prices an equilibrium exists. The equilibrium is constructed by considering a Fokker-Planck equation and a system of partial differential equations that are coupled with an optimal transport type constraint at maturity.

Full work available at URL: https://doi.org/10.1137/21m1457059

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Mathematics Subject Classification ID

Diffusion processes (60J60) Applications of stochastic analysis (to PDEs, etc.) (60H30) Economics of information (91B44)

Cited In (1)

• Kyle-back models with risk aversion and non-Gaussian beliefs

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