Strategic insider trading equilibrium: a filter theory approach

DOI10.1007/s13370-011-0026-xzbMath1267.91058OpenAlexW3123051136MaRDI QIDQ1945309

Terje Bjuland, Knut Kristian Aase, Bernt Øksendal

Publication date: 8 April 2013

Published in: Afrika Matematika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13370-011-0026-x

zbMATH Keywords

equilibriuminsider tradinglinear filter theorystrategic tradeinnovation equation

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Estimation and detection in stochastic control theory (93E10) Signal detection and filtering (aspects of stochastic processes) (60G35) Optimal stochastic control (93E20) Auctions, bargaining, bidding and selling, and other market models (91B26) Corporate finance (dividends, real options, etc.) (91G50) Portfolio theory (91G10)

Related Items (11)

Linear Bayesian equilibrium in insider trading with a random time under partial observations ⋮ Optimal investment with inside information and parameter uncertainty ⋮ Existence of linear strategy equilibrium in insider trading with partial observations ⋮ Partially informed noise traders ⋮ Insider trading equilibrium in a market with memory ⋮ PRICE SETTING OF MARKET MAKERS: A FILTERING PROBLEM WITH ENDOGENOUS FILTRATION ⋮ Kyle--Back Equilibrium Models and Linear Conditional Mean-Field SDEs ⋮ KYLE–BACK’S MODEL WITH A RANDOM HORIZON ⋮ Insider trading with memory under random deadline ⋮ Kyle equilibrium under random price pressure ⋮ Insider trading with a random deadline under partial observations: maximal principle method

Cites Work

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• Lectures on stochastic control and nonlinear filtering. Lectures delivered at the Indian Institute of Science, Bangalore, under the T.I.F.R.-I.I.Sc. programme in applications of mathematics. Notes by K. M. Ramachandran
• Forward, backward and symmetric stochastic integration
• The generalized covariation process and Itô formula
• A general stochastic calculus approach to insider trading
• Continuous Auctions and Insider Trading
• Stochastic calculus with respect to continuous finite quadratic variation processes

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