Stochastic Two-Point Boundary Value Problems and Application in Kyle-Back Model

Event Date: 

Wednesday, May 29, 2024 - 3:30pm to 4:45pm

Event Date Details: 

Wednesday May 29, 2024

Event Location: 

  • Sobel Seminar Room

Event Price: 


Event Contact: 

Dr. Ying Tan 

Visiting Assistant Professor at the Department of Statistics and Applied Probability, UCSB

  • Department Seminar

As the main technical tool in solving the generalized Kyle-Back insider trading models in which the insider can use dynamic information,  we study a class of Stochastic Two-Point Boundary Value Problems (STPBVP), which resembles the dynamic Markov bridge in the literature without insisting on its local martingale requirement. In the case when the solution of the STPBVP has an affine structure, we show that the Kyle-Back equilibrium can be determined by the decoupling field of a special forward-backward SDE obtained via a non-linear filtering argument, along with a set of compatibility conditions.