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Canonical decomposition of linear transformations of two independent Brownian motions motivated by models of insider trading

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References

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1998Long-lived information and intraday patterns161 cited
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Cited by

2010Dynamic Markov bridges motivated by models of insider trading39 cited
2000On weak Brownian motions of arbitrary order37 cited
2008Informed traders33 cited
2008An Information-Based Framework for Asset Pricing: X-Factor Theory and its Applications29 cited
2015PROGRESSIVE FILTRATION EXPANSIONS VIA A PROCESS, WITH APPLICATIONS TO INSIDER TRADING25 cited
2007Optimal Smooth Portfolio Selection for an Insider25 cited
1999Construction of Brownian Motions in Enlarged Filtrations and Their Role in Mathematical Models of Insider Trading25 cited

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2007

Insiders' hedging in a jump diffusion model

16 cited