Multidimensional Kyle-Back model with a risk averse informed trader

DOI10.1137/21M1457059MaRDI QIDQ6382017zbMATH OpenOpenAlexFDO

Authors Shreya Bose, Ibrahim Ekren

Publication date 2 November 2021

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

Mathematics Subject Classification ID

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

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.

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Cited in

(1)

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

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