Canonical decomposition of linear transformations of two independent Brownian motions motivated by models of insider trading
type: Item
instance of: scholarly article
title: Canonical decomposition of linear transformations of two independent Brownian motions motivated by models of insider trading
zbMATH Open document ID: 0996.60079
DOI: 10.1016/S0304-4149(99)00057-5
author: Hans Föllmer
author: Ching-Tang Wu
author: Marc Yor
published in: Stochastic Processes and their Applications
publication date: 2002-08-29T00:00:00Z
Mathematics Subject Classification ID: 60H30
Mathematics Subject Classification ID: 60G35
Mathematics Subject Classification ID: 91B28
zbMATH DE Number: 1792554
zbMATH Keywords: Brownian motion
zbMATH Keywords: canonical decomposition
zbMATH Keywords: enlargement of filtration
zbMATH Keywords: insider trading
zbMATH Keywords: stochastic filtering theory
zbMATH Keywords: Sturm-Liouville equation
zbMATH Keywords: Volterra kernels
MaRDI profile type: Publication
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full work available at URL: s0304-4149(99)00057-5
OpenAlex ID: W2011126376
description: scientific article; zbMATH DE number 1792554