Weak Kyle–Back Equilibrium Models for Max and ArgMax

DOI10.1137/080739768zbMath1189.49059OpenAlexW2063481321MaRDI QIDQ3563691

Arturo Kohatsu-Higa, Salvador Ortiz-Latorre

Publication date: 1 June 2010

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/080739768

zbMATH Keywords

equilibrium theorysemimartingale decompositionlarge insider trading

Mathematics Subject Classification ID

Applications of optimal control and differential games (49N90) Generalizations of martingales (60G48) Optimal stochastic control (93E20) Auctions, bargaining, bidding and selling, and other market models (91B26) Existence of optimal solutions to problems involving randomness (49J55)

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