Dynamic Markov bridges motivated by models of insider trading
Date
2011Link to item file
http://arxiv.org/abs/1202.2980Dewey
Probabilités et mathématiques appliquéesSujet
Markovian bridges; Martingale problem; Nonlinear filtering; Parabolic PDEs; Equilibrium; Insider tradingJournal issue
Stochastic Processes and their ApplicationsVolume
121Number
3Publication date
2011Article pages
534-567Publisher
ElsevierCollections
Metadata
Show full item recordAuthor
Campi, Luciano
Cetin, Umut
Danilova, Albina