A stochastic model for the financial market with discontinuous prices.
Minkova, Leda D. (1996)
Journal of Applied Mathematics and Stochastic Analysis
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Minkova, Leda D. (1996)
Journal of Applied Mathematics and Stochastic Analysis
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Wong, Bernard, Heyde, C.C. (2006)
Journal of Applied Mathematics and Stochastic Analysis
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Ewald, Christian-Oliver (2005)
Journal of Applied Mathematics and Stochastic Analysis
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Wong, Bernard (2009)
Journal of Applied Mathematics and Stochastic Analysis
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Gideon, F., Mukuddem-Petersen, J., Petersen, M.A. (2007)
Journal of Applied Mathematics
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Piotr Nowak (2008)
Control and Cybernetics
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Ratanov, Nikita (2007)
Journal of Applied Mathematics and Stochastic Analysis
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Klebaner, Fima (2002)
Electronic Communications in Probability [electronic only]
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Shigeyoshi Ogawa, Monique Pontier (2007)
ESAIM: Probability and Statistics
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We consider an extension of the Kyle and Back's model [Back, (1992) 387–409; Kyle, (1985) 1315–1335], meaning a model for the market with a continuous time risky asset and asymmetrical information. There are three financial agents: the market maker, an insider trader (who knows a random variable which will be revealed at final time) and a non informed agent. Here we assume that the non informed agent is strategic, namely he/she uses a utility function...
Lindström, Erik (2010)
Advances in Decision Sciences
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Swishchuk, Anatoliy, Manca, Raimondo (2010)
Mathematical Problems in Engineering
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Siu, Tak Kuen (2010)
International Journal of Stochastic Analysis
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Londoño, Jaime A. (2004)
Electronic Communications in Probability [electronic only]
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