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• W3022586523 abstract "Given a Markovian Brownian martingale Z, we build a process X which is a martingale in its own filtration and satisfies X1=Z1. We call X a dynamic bridge, because its terminal value Z1 is not known in advance. We compute its semimartingale decomposition explicitly under both its own filtration FX and the filtration FX,Z jointly generated by X and Z. Our construction is heavily based on parabolic partial differential equations 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 the model of Back and Pedersen (1998) [3], where the insider’s additional information evolves over time." @default.
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• W3022586523 date "2011-03-01" @default.
• W3022586523 modified "2023-10-17" @default.
• W3022586523 title "Dynamic Markov bridges motivated by models of insider trading" @default.
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• W3022586523 doi "https://doi.org/10.1016/j.spa.2010.11.004" @default.
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