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

Authors
Follmer, H Wu, CT Yor, M
Citation
H. Follmer et al., Canonical decomposition of linear transformations of two independent Brownian motions motivated by models of insider trading, STOCH PR AP, 84(1), 1999, pp. 137-164
Citations number
22
Categorie Soggetti
Mathematics
Journal title
STOCHASTIC PROCESSES AND THEIR APPLICATIONS
ISSN journal
03044149 → ACNP
Volume
84
Issue
1
Year of publication
1999
Pages
137 - 164
Database
ISI
SICI code
0304-4149(19991101)84:1<137:CDOLTO>2.0.ZU;2-O
Abstract
Motivated by the Kyle-Back model of "insider trading", we consider certain classes of linear transformations of two independent Brownian motions and s tudy their canonical decomposition, i.e., their Doob-Meyer decomposition as semimartingales in their own filtration. In particular we characterize tho se transformations which generate again a Brownian motion. (C) 1999 Elsevie r Science B.V. All rights reserved.