Browsing by Author "Wu, Ching-Tang"

Now showing items 1-4 of 4

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