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Canonical decomposition of linear transformations of two independent Brownian motions motivated by models of insider trading

  • Published:1999-11 Issue:1 Volume:84 Page:137-164
  • ISSN:0304-4149
  • Container-title:Stochastic Processes and their Applications
  • language:en
  • Short-container-title:Stochastic Processes and their Applications

Author:

Föllmer Hans,Wu Ching-Tang,Yor Marc

Publisher

Elsevier BV

Subject

Applied Mathematics,Modelling and Simulation,Statistics and Probability

Reference22 articles.

1. New results on the innovations problem for non-linear filtering;Allinger;Stochastics,1981

2. Insider trading in continuous time;Back;Rev. Financial Stud.,1992

3. Long-lived information and intraday patterns;Back;J. Financial Markets,1998

4. Davis, M.H.A., 1977. Linear Estimation and Stochastic Control. Chapman & Hall, New york.

5. Hida, T., Hitsuda, M., 1993. Gaussian Processes. American Mathematical Society, Providence, RI.

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1. Weak Dirichlet processes and generalized martingale problems;Stochastic Processes and their Applications;2024-04

2. Filtration enlargement‐based time series forecast in view of insider trading;Journal of Economic Surveys;2022-04-04

3. Gaussian random bridges and a geometric model for information equilibrium;Physica A: Statistical Mechanics and its Applications;2018-03

4. Dynamic Bridges;Dynamic Markov Bridges and Market Microstructure;2018

5. Informed traders’ hedging with news arrivals;Journal of Statistical Planning and Inference;2016-08
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