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• W2162227649 abstract "Given a Markovian Brownian martingale $Z$, we build a process $X$ which is a martingale in its own filtration and satisfies $X_1 = Z_1$. We call $X$ a dynamic bridge, because its terminal value $Z_1$ is not known in advance. We compute explicitly its semimartingale decomposition under both its own filtration $cF^X$ and the filtration $cF^{X,Z}$ jointly generated by $X$ and $Z$. Our construction is heavily based on parabolic PDE's and filtering techniques. As an application, we explicitly solve an equilibrium model with insider trading, that can be viewed as a non-Gaussian generalization of Back and Pedersen's cite{BP}, where insider's additional information evolves over time." @default.
• W2162227649 created "2016-06-24" @default.
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• W2162227649 date "2012-02-01" @default.
• W2162227649 modified "2023-09-27" @default.
• W2162227649 title "Dynamic Markov bridges motivated by models of insider trading" @default.
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