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Kyle-back models with risk aversion and non-Gaussian beliefs - MaRDI portal

Kyle-back models with risk aversion and non-Gaussian beliefs (Q6138899)

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scientific article; zbMATH DE number 7789633
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English
Kyle-back models with risk aversion and non-Gaussian beliefs
scientific article; zbMATH DE number 7789633

    Statements

    title
    Kyle-back models with risk aversion and non-Gaussian beliefs (English)
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    author
    Shreya Bose
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    Ibrahim Ekren
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    publication date
    16 January 2024
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    zbMATH Keywords
    Kyle's model with risk averse informed trader
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    Markov bridges
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    optimal transport
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    quasilinear partial differential equations
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    cites work
    Q4354424
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    Identifiers

    arXiv ID
    2008.06377
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    Mathematics Subject Classification ID
    60H30
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    60J60
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    91B44
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    zbMATH DE Number
    7789633
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    OpenAlex ID
    W3049631296
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    DOI
    10.1214/22-AAP1905
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