## Kyle-Back Equilibrium Models and Linear Conditional Mean-Field SDEs

- Jin Ma, Rentao Sun, Yonghui Zhou
- SIAM J. Control and Optimization
- 2018

- Published 2011

We consider the Kyle-Back model for insider trading, with the difference that the classical Brownian motion noise of the noise traders is replaced by the noise of a fractional Brownian motion BH with Hurst parameter H > 12 (when H = 1 2 , B H coincides with the classical Brownian motion). Heuristically, for H > 12 this means that the noise traders has some… CONTINUE READING

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