Arbeitspapier
Canonical decomposition of linear transformations of two independent Brownian motions
Motivated by the Kyle-Back model of 'insider trading', we consider certain classes of linear transformations of two independent Brownian motions and study their canonical decomposition as semimartingales in their own filtration. In particular we characterize those transformations which generate again a Brownian motion.
- Sprache
-
Englisch
- Erschienen in
-
Series: SFB 373 Discussion Paper ; No. 1998,61
- Klassifikation
-
Wirtschaft
Asymmetric and Private Information; Mechanism Design
Information and Market Efficiency; Event Studies; Insider Trading
- Thema
-
Brownian motion
insider trading
stochastic filtering theory
enlargement of filtration
canonical decomposition
Sturm-Liouville equation
Volterra kernels
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Föllmer, Hans
Wu, Ching-tang
Yor, Marc
- Ereignis
-
Veröffentlichung
- (wer)
-
Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
- (wo)
-
Berlin
- (wann)
-
1998
- Handle
- URN
-
urn:nbn:de:kobv:11-10060000
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Föllmer, Hans
- Wu, Ching-tang
- Yor, Marc
- Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
Entstanden
- 1998
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