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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Showing 2014 · math.PRShow all

2 papers · 2 filters

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…