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Browsing by Author "Wu, Ching-Tang"
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2006-03-09BuchCanonical decomposition of linear transformations of two independent Brownian motions Föllmer, Hans; Wu, Ching-Tang; Yor, MarcMotivated 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 ...
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1999-06-08DissertationConstruction of Brownian Motions in Enlarged Filtrations and Their Role in Mathematical Models of Insider Trading Wu, Ching-TangIn dieser Arbeit untersuchen wir die Struktur von Gausschen Prozessen, die durch gewisse lineare Transformationen von zwei Gausschen Martingalen erzeugt werden. Die Klasse dieser Transformationen ist durch nanzmathematische ...
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2005-04-27BuchDuality Theory for Optimal Investments under Model Uncertainty Schied, Alexander; Wu, Ching-TangRobust utility functionals arise as numerical representations of investor preferences, when the investor is uncertain about the underlying probabilistic model and averse against both risk and model uncertainty. In this ...
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2005-09-14BuchOn weak Brownian motions of arbitrary order Föllmer, Hans; Wu, Ching-Tang; Yor, Marc