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

DOI10.1214/22-aap1905arXiv2008.06377OpenAlexW3049631296MaRDI QIDQ6138899

Ibrahim Ekren, Shreya Bose

Publication date: 16 January 2024

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2008.06377

zbMATH Keywords

Markov bridgesoptimal transportquasilinear partial differential equationsKyle's model with risk averse informed trader

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Economics of information (91B44)

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