Kyle--Back Equilibrium Models and Linear Conditional Mean-Field SDEs

DOI10.1137/15M102558XzbMath1390.60216arXiv1711.03223OpenAlexW2963880898MaRDI QIDQ4610157

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Publication date: 5 April 2018

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1711.03223

zbMATH Keywords

conditional mean-field SDEsreference measuresoptimal closed-loop systemKyle-Back equilibriumstrategic insider trading

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Signal detection and filtering (aspects of stochastic processes) (60G35) Financial applications of other theories (91G80)

Related Items (7)

Linear Bayesian equilibrium in insider trading with a random time under partial observations ⋮ A general conditional McKean-Vlasov stochastic differential equation ⋮ Strategic trading with information acquisition and long-memory stochastic liquidity ⋮ On the equilibrium of insider trading under information acquisition with long memory ⋮ Insider trading with memory under random deadline ⋮ On Pricing Rules and Optimal Strategies in General Kyle--Back Models ⋮ Insider trading with a random deadline under partial observations: maximal principle method

Cites Work

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