A. Danilova

activity

20092025

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

26 citations · 28 across the 6 of their papers we have counts for

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3 papers · 1 filter

math.PR2014★ 26 cited

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

Umut Çetin, Albina Danilova

This paper develops a new methodology for studying continuous-time Nash equilibrium in a financial market with asymmetrically informed agents. This approach allows us to lift the r…

math.PR2014

Markov bridges: SDE representation

Umut Çetin, Albina Danilova

Let $X$ be a Markov process taking values in $E$ with continuous paths and transition function $(P_{s, t})$ . Given a measure $μ$ on $(E, E)$ , a Markov br…

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…