Insider Trading with Memory under Random Deadline
In this paper, we study a model of continuous-time insider trading in which noise traders have some memories and the trading stops at a random deadline. By a filtering theory on fractional Brownian motion and the stochastic maximum principle, we obtain a necessary condition of the insider’s optimal...
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| Hlavní autoři: | , |
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| Médium: | Artigo |
| Jazyk: | Inglês |
| Vydáno: |
Wiley
2021-01-01
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| Edice: | Journal of Mathematics |
| On-line přístup: | http://dx.doi.org/10.1155/2021/2973361 |
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