We want to recover the transition kernel P of a Markov chain X when only a sub-sequence of X is available. The time gaps between the observations are iid with unknown distribution. We propose a method to build an estimator of P under the assumption that it has some zero entries. Its asymptotic...

We consider financial market models based on Wiener space with two agents on different information levels: a regular agent whose information is contained in the natural filtration of the Wiener process W, and an insider who possesses some extra information from the beginning of the trading...

This paper is the sequel of a paper by the authors (1993) and it has a complete version in (1995). We develop a stochastic calculus which allows to integrate non-adapted processes taking their values in the space of second-order 1-forms that are above a manifold valued anticipating process....

We develop a financial model with an "influential informed" investor who has an additional information and influences asset prices by means of his strategy. The prices dynamics are supposed to be driven by a Brownian motion, the informed investor's strategies affect the risky asset trends and...

In general, a comparison Lemma for the solutions of Forward-Backward Stochastic Differential Equations (FBSDE) does not hold. Here we prove one for the backward component at the initial time, relying on certain monotonicity conditions on the coefficients of both components. Such a result is...

We develop the classical asset pricing analysis assuming that the representative agent is characterized by endogenous aspirations. The agent's aspirations at time t are given by a linear combination of the standard of living (habit) at time t (the “forward” part) and of the conditional...