Canonical Decomposition of Linear Transformations of Two Independent Brownian Motions Motivated by Models of Insider Trading 1
نویسنده
چکیده
Motivated by the Kyle-Back model of \insider trading", we consider certain classes of linear transformations of two independent Brownian motions and study their canonical decomposition, i.e., their Doob-Meyer decomposition as semimartingales in their own ltration. In particular we characterize those transformations which generate again a Brownian motion. 1 Support of the EU through the TMR contract ERB-FMRX-CT96-0075 \Stochastic Analysis" and Support of the Deutsche Forschungsgemeinschaft (SFB 373 \Quantiikation und Simulation okonomischer Prozesse" and Berliner Graduiertenkolleg \Stochastische Prozesse und probabilistis-che Analysis") are gratefully acknowledged.
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