Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/61303
Authors: 
Föllmer, Hans
Wu, Ching-tang
Yor, Marc
Year of Publication: 
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: 
Document Type: 
Working Paper

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