Umut Çetin

activity

20042026

most citedMarkovian Nash equilibrium in financial markets with asymmetric information and related forward-backward systems

26 citations · 26 across the 8 of their papers we have counts for

collaborators

Showing 2012Show all

2 papers · 1 filter

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 $Z$ , we build a process $X$ which is a martingale in its own filtration and satisfies $X_{1} = Z_{1}$ . We call $X$ a dynamic bridge, because its t…