Modeling of financial markets with inside information in continuous time. (English) Zbl 1237.91245
Summary: We give a survey about the different approaches to model financial markets with inside information in continuous time. In particular, we consider the Karatzas-Pikovsky, Kyle-Back and the weak Kyle-Back approach. These three types of modeling are based on the enlargement of filtration problem, which we explain with some examples and use it for these three modeling approaches.
MSC:
| 91G80 | Financial applications of other theories |
| 91B24 | Microeconomic theory (price theory and economic markets) |
| 49J40 | Variational inequalities |
| 60G48 | Generalizations of martingales |
| 93E20 | Optimal stochastic control |
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