Kyle equilibrium under random price pressure


We study the equilibrium in the model proposed by Kyle in 1985 and extended to the continuous time setting by Back in 1992. The novelty of this paper is that we consider a framework where the price pressure can be random. We... [ view full abstract ]


  1. José Manuel Corcuera (University of Barcelona)
  2. Giulia Di Nunno (University of Oslo)

Topic Areas

Equilibrium Models , Optimal Control


FR-A-SY » Dynamic Information (10:00 - Friday, 20th July, Synge)

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