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2006-03-09Buch DOI: 10.18452/3750
Canonical decomposition of linear transformations of two independent Brownian motions
dc.contributor.authorFöllmer, Hans
dc.contributor.authorWu, Ching-Tang
dc.contributor.authorYor, Marc
dc.date.accessioned2017-06-15T22:00:19Z
dc.date.available2017-06-15T22:00:19Z
dc.date.created2006-03-09
dc.date.issued2006-03-09
dc.identifier.issn1436-1086
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4402
dc.description.abstractMotivated 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.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.subjectBrownian motioneng
dc.subjectinsider tradingeng
dc.subjectstochastic filtering theoryeng
dc.subjectenlargement of filtrationeng
dc.subjectcanonical decompositioneng
dc.subjectSturm-Liouville equationeng
dc.subjectVolterra kernelseng
dc.subject.ddc330 Wirtschaft
dc.titleCanonical decomposition of linear transformations of two independent Brownian motions
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10060000
dc.identifier.doihttp://dx.doi.org/10.18452/3750
dc.subject.dnb17 Wirtschaft
local.edoc.container-titleSonderforschungsbereich 373: Quantification and Simulation of Economic Processes
local.edoc.pages35
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume1998
local.edoc.container-issue61
local.edoc.container-year1998
local.edoc.container-erstkatid2135319-0

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