EconStor >
Humboldt-Universität zu Berlin >
Sonderforschungsbereich 373: Quantification and Simulation of Economic Processes, Humboldt-Universität Berlin >
Discussion Papers, SFB 373, HU Berlin >

Please use this identifier to cite or link to this item:
Title:Canonical decomposition of linear transformations of two independent Brownian motions PDF Logo
Authors:Föllmer, Hans
Wu, Ching-tang
Yor, Marc
Issue Date:1998
Series/Report no.:Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 1998,61
Abstract:Motivated by the Kyle-Back model of 'insider trading', we consider certain classes of linear transformations of two independent Brownian motions and study their canonical decomposition as semimartingales in their own filtration. In particular we characterize those transformations which generate again a Brownian motion.
Subjects:Brownian motion
insider trading
stochastic filtering theory
enlargement of filtration
canonical decomposition
Sturm-Liouville equation
Volterra kernels
Persistent Identifier of the first edition:urn:nbn:de:kobv:11-10060000
Document Type:Working Paper
Appears in Collections:Discussion Papers, SFB 373, HU Berlin

Files in This Item:
File Description SizeFormat
721985254.pdf275.78 kBAdobe PDF
No. of Downloads: Counter Stats
Download bibliographical data as: BibTeX
Share on:

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.