Canonical decomposition of linear transformations of two independent Brownian motions

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.

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Year of publication:	1998
Authors:	Föllmer, Hans ; Wu, Ching-tang ; Yor, Marc
Institutions:	Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät
Subject:	Brownian motion \| insider trading \| stochastic filtering theory \| enlargement of filtration \| canonical decomposition \| Sturm-Liouville equation \| Volterra kernels

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Extent:	application/pdf
Series:	SFB 373 Discussion Papers.
Type of publication:	Book / Working Paper
Notes:	Number 1998,61
Classification:	D82 - Asymmetric and Private Information ; G14 - Information and Market Efficiency; Event Studies
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010983840