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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
JEL:D82
G14
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

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