The PDF file you selected should load here if your Web browser has a PDF reader plug-in installed (for example, a recent version of Adobe Acrobat Reader).

Alternatively, you can also download the PDF file directly to your computer, from where it can be opened using a PDF reader. To download the PDF, click the Download link below.

If you would like more information about how to print, save, and work with PDFs, Highwire Press provides a helpful Frequently Asked Questions about PDFs.

Download this PDF file Fullscreen Fullscreen Off

References

  • Athreya, Krishna B. Modified Bessel function asymptotics via probability. Statist. Probab. Lett. 5 (1987), no. 5, 325--327. MR0903806
  • sc K. Back, Insider trading in continuous time, Review of Financial Studies, 5 (1992), pp. 387--409.
  • leavevmoderule height 2pt depth -1.6pt width 23pt, Asset Pricing and Portfolio Choice Theory, Financial Management Association Survey and Synthesis Series, Oxford University Press, 2010.
  • Back, Kerry; Baruch, Shmuel. Information in securities markets: Kyle meets Glosten and Milgrom. Econometrica 72 (2004), no. 2, 433--465. MR2036729
  • leavevmoderule height 2pt depth -1.6pt width 23pt, Working orders in limit order markets and floor exchanges, The Journal of Finance, 62 (2007), pp. 1589--1621.
  • sc K. Back and H. Pedersen, Long-lived information and intraday patterns, Journal of Financial Markets, (1998), pp. 385--402.
  • Brémaud, Pierre. Point processes and queues. Martingale dynamics. Springer Series in Statistics. Springer-Verlag, New York-Berlin, 1981. xviii+354 pp. ISBN: 0-387-90536-7 MR0636252
  • Campi, Luciano; Çetin, Umut; Danilova, Albina. Dynamic Markov bridges motivated by models of insider trading. Stochastic Process. Appl. 121 (2011), no. 3, 534--567. MR2763095
  • Cont, Rama; Tankov, Peter. Financial modelling with jump processes. Chapman & Hall/CRC Financial Mathematics Series. Chapman & Hall/CRC, Boca Raton, FL, 2004. xvi+535 pp. ISBN: 1-5848-8413-4 MR2042661
  • Ethier, Stewart N.; Kurtz, Thomas G. Markov processes. Characterization and convergence. Wiley Series in Probability and Mathematical Statistics: Probability and Mathematical Statistics. John Wiley & Sons, Inc., New York, 1986. x+534 pp. ISBN: 0-471-08186-8 MR0838085
  • Jacod, Jean. Multivariate point processes: predictable projection, Radon-Nikodým derivatives, representation of martingales. Z. Wahrscheinlichkeitstheorie und Verw. Gebiete 31 (1974/75), 235--253. MR0380978
  • Jacod, Jean; Shiryaev, Albert N. Limit theorems for stochastic processes. Second edition. Grundlehren der Mathematischen Wissenschaften [Fundamental Principles of Mathematical Sciences], 288. Springer-Verlag, Berlin, 2003. xx+661 pp. ISBN: 3-540-43932-3 MR1943877
  • Kohatsu-Higa, Arturo; Yamazato, Makoto. Enlargement of filtrations with random times for processes with jumps. Stochastic Process. Appl. 118 (2008), no. 7, 1136--1158. MR2428712
  • sc A. Kyle, Continuous auctions and insider trading, Econometrica, 53 (1985), pp. 1315--1335.
  • Mansuy, Roger; Yor, Marc. Random times and enlargements of filtrations in a Brownian setting. Lecture Notes in Mathematics, 1873. Springer-Verlag, Berlin, 2006. xiv+158 pp. ISBN: 978-3-540-29407-8; 3-540-29407-4 MR2200733
  • Skellam, J. G. The frequency distribution of the difference between two Poisson variates belonging to different populations. J. Roy. Statist. Soc. (N.S.) 109, (1946). 296. MR0020750


Creative Commons License
This work is licensed under a Creative Commons Attribution 3.0 License.