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
Publisher:	Berlin : Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
Subject:	Brownian motion \| insider trading \| stochastic filtering theory \| enlargement of filtration \| canonical decomposition \| Sturm-Liouville equation \| Volterra kernels

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Series:	SFB 373 Discussion Paper ; 1998,61
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	721985254 [GVK] hdl:10419/61303 [Handle] RePEc:zbw:sfb373:199861 [RePEc]
Classification:	D82 - Asymmetric and Private Information ; G14 - Information and Market Efficiency; Event Studies
Source:	EconStor

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010309915