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Canonical decomposition of linear transformations of two independent Brownian motions
| Content Provider | Semantic Scholar |
|---|---|
| Author | Föllmer, Hans Wu, Ching-Tang Yor, Marc |
| Copyright Year | 1998 |
| Abstract | 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 filtration. In particular we characterize those transformations which generate again a Brownian motion. |
| File Format | PDF HTM / HTML |
| DOI | 10.18452/3750 |
| Alternate Webpage(s) | http://www.fam.tuwien.ac.at/~wu/fwy97hu.ps |
| Alternate Webpage(s) | http://db.mathematik.hu-berlin.de/~foellmer/papers/fwy97hu.ps |
| Alternate Webpage(s) | https://edoc.hu-berlin.de/bitstream/handle/18452/4402/61.pdf?isAllowed=y&sequence=1 |
| Alternate Webpage(s) | http://www.math.tu-berlin.de/stoch/Kolleg/Preprints/foellwuyor.ps |
| Alternate Webpage(s) | https://doi.org/10.18452/3750 |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |