Showing 1 - 10 of 97
Persistent link: https://www.econbiz.de/10003919904
Persistent link: https://www.econbiz.de/10003543101
Persistent link: https://www.econbiz.de/10003529804
Persistent link: https://www.econbiz.de/10010244607
Persistent link: https://www.econbiz.de/10010365556
Persistent link: https://www.econbiz.de/10003123173
Persistent link: https://www.econbiz.de/10001643753
Persistent link: https://www.econbiz.de/10001650919
Persistent link: https://www.econbiz.de/10003557286
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...
Persistent link: https://www.econbiz.de/10009578007