• français
    • English
  • français 
    • français
    • English
  • Login
JavaScript is disabled for your browser. Some features of this site may not work without it.
BIRD Home

Browse

This CollectionBy Issue DateAuthorsTitlesSubjectsJournals BIRDResearch centres & CollectionsBy Issue DateAuthorsTitlesSubjectsJournals

My Account

Login

Statistics

View Usage Statistics

Dynamic Markov bridges motivated by models of insider trading

Thumbnail
Date
2011
Link to item file
http://arxiv.org/abs/1202.2980
Dewey
Probabilités et mathématiques appliquées
Sujet
Markovian bridges; Martingale problem; Nonlinear filtering; Parabolic PDEs; Equilibrium; Insider trading
Journal issue
Stochastic Processes and their Applications
Volume
121
Number
3
Publication date
2011
Article pages
534-567
Publisher
Elsevier
DOI
http://dx.doi.org/10.1016/j.spa.2010.11.004
URI
https://basepub.dauphine.fr/handle/123456789/10435
Collections
  • CEREMADE : Publications
Metadata
Show full item record
Author
Campi, Luciano
Cetin, Umut
Danilova, Albina
Type
Article accepté pour publication ou publié
Abstract (EN)
Given a Markovian Brownian martingale Z, we build a process X which is a martingale in its own filtration and satisfies X1=Z1. We call X a dynamic bridge, because its terminal value Z1 is not known in advance. We compute its semimartingale decomposition explicitly under both its own filtration FX and the filtration FX,Z jointly generated by X and Z. Our construction is heavily based on parabolic partial differential equations and filtering techniques. As an application, we explicitly solve an equilibrium model with insider trading that can be viewed as a non-Gaussian generalization of the model of Back and Pedersen (1998) [3], where the insider’s additional information evolves over time.

  • Accueil Bibliothèque
  • Site de l'Université Paris-Dauphine
  • Contact
SCD Paris Dauphine - Place du Maréchal de Lattre de Tassigny 75775 Paris Cedex 16

 Content on this site is licensed under a Creative Commons 2.0 France (CC BY-NC-ND 2.0) license.