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Browsing by Author "Wu, Ching-Tang"

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    • 2006-03-09Buch
      Canonical decomposition of linear transformations of two independent Brownian motions 
      Föllmer, Hans; Wu, Ching-Tang; Yor, Marc
      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 ...
    • 1999-06-08Dissertation
      Construction of Brownian Motions in Enlarged Filtrations and Their Role in Mathematical Models of Insider Trading 
      Wu, Ching-Tang
      In 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 ...
    • 2005-04-27Buch
      Duality Theory for Optimal Investments under Model Uncertainty 
      Schied, Alexander; Wu, Ching-Tang
      Robust 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 ...
    • 2005-09-14Buch
      On weak Brownian motions of arbitrary order 
      Föllmer, Hans; Wu, Ching-Tang; Yor, Marc
      DINI-Zertifikat 2019OpenAIRE validatedORCID Consortium
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