Linear Bayesian equilibrium in insider trading with a random time under partial observations

Linear Bayesian equilibrium in insider trading with a random time under partial observations

In this paper, the insider trading model of Xiao and Zhou (Acta Mathematicae Applicatae, 2021) is further studied, in which market makers receive partial information about a static risky asset and an insider stops trading at a random time. With the help of dynamic programming principle, we obtain a...

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Bibliographic Details
Main Authors: Kai Xiao, Yonghui Zhou
Format: Article
Language:English
Published: AIMS Press 2021-09-01
Series:AIMS Mathematics
Subjects:
insider trading
bayesian equilibrium
random time
partial observation
hjb equation
Online Access:https://www.aimspress.com/article/doi/10.3934/math.2021772?viewType=HTML

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https://www.aimspress.com/article/doi/10.3934/math.2021772?viewType=HTML

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