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math.PR2012
Point process bridges and weak convergence of insider trading models
Umut Çetin, Hao Xing
We construct explicitly a bridge process whose distribution, in its own filtration, is the same as the difference of two independent Poisson processes with the same intensity and i…
math.PR2012
Dynamic Markov bridges motivated by models of insider trading
Luciano Campi, Umut Çetin, Albina Danilova
Given a Markovian Brownian martingale , we build a process which is a martingale in its own filtration and satisfies . We call a dynamic bridge, because its t…