1 citations · 1 across the 3 of their papers we have counts for
3 papers
q-fin.MF2026
An Infinite-Dimensional Insider Trading Game
Christian Keller, Michael C. Tseng
We generalize the seminal framework of Kyle (1985) to a many-asset setting, bridging the gap between informed-trading theory and modern trading practices. Specifically, we formulat…
math.PR2024★ 1 cited
Non-local Hamilton-Jacobi-Bellman equations for the stochastic optimal control of path-dependent piecewise deterministic processes
Elena Bandini, Christian Keller
We study the optimal control of path-dependent piecewise deterministic processes. An appropriate dynamic programming principle is established. We prove that the associated value fu…
math.AP2024
Path-dependent Hamilton-Jacobi equations with u-dependence and time-measurable Hamiltonians
Elena Bandini, Christian Keller
We establish existence and uniqueness of minimax solutions for a fairly general class of path-dependent Hamilton-Jacobi equations. In particular, the relevant Hamiltonians can cont…