Insider trading equilibrium in a market with memory
type: Item
instance of: scholarly article
title: Insider trading equilibrium in a market with memory
zbMATH Open document ID: 1262.91156
author: Francesca Biagini
author: Thilo Meyer-Brandis
author: Yaozhong Hu
author: B. Øksendal
published in: Mathematics and Financial Economics
publication date: 2013-02-26T00:00:00Z
full work available at URL: URN:NBN:no-29091
Mathematics Subject Classification ID: 91G80
Mathematics Subject Classification ID: 60G22
Mathematics Subject Classification ID: 60G35
zbMATH DE Number: 6139071
zbMATH Keywords: insider trading
zbMATH Keywords: memory
zbMATH Keywords: fractional Brownian motion
zbMATH Keywords: filtering problem
zbMATH Keywords: optimal expected wealth
MaRDI profile type: Publication
OpenAlex ID: W2049995052
cites work: Strategic insider trading equilibrium: a filter theory approach
cites work: Stochastic Calculus for Fractional Brownian Motion and Applications
cites work: Q3878440
cites work: General approach to filtering with fractional brownian noises — application to linear systems
cites work: Continuous Auctions and Insider Trading
cites work: Stochastic calculus for fractional Brownian motion and related processes.
cites work: Stochastic calculus with respect to continuous finite quadratic variation processes
DOI: 10.1007/S11579-012-0065-6
description: scientific article; zbMATH DE number 6139071