Risk-seeking insider trading with partial observation in continuous time

• Published in: AIMS mathematics Vol. 8; no. 11; pp. 28143 - 28152
• Main Author: Xiao, Kai
• Format: Journal Article
• Language: English
• Published: AIMS Press 01.01.2023
• Subjects: hjb; insider trading; linear bayesian equilibrium; partial observation; risk-seeking

In this paper, a continuous-time insider trading model is investigated in which an insider is risk-seeking and market makers may receive partial information on the value of a risky asset. With the help of filtering theory and dynamic programming principle, the uniqueness and existence of linear equi...