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

Stochastic Processes and their Applications

Volumn 84, Issue 1, 1999, Pages 137-164

  Föllmer, Hans ^a   Wu, Ching Tang ^a   Yor, Marc ^b  

^a HUMBOLDT UNIVERSITY   (Germany)

^b SORBONNE UNIVERSITÉ   (France)

Author keywords

45D05; 60G15; 60G35; 60H05; 60H30; 90A09; Brownian motion; Canonical decomposition; D82; Enlargement of filtration; G14; Insider trading; Stochastic filtering theory; Sturm Liouville equation; Volterra kernels

Indexed keywords

EID: 0033229203     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4149(99)00057-5     Document Type: Article

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