报告题目：On Kyle-Back Equilibrium Problem — The Case of Dynamic Information

主 讲 人：马进教授，南加州大学

报告时间：

2021 年 12 月 9 日 上午 8:30-9:30（北京时间）

2021 年 12 月 8 日 下午 4:30-5:30（北美时间）

报告地点：Zoom 会议号：846 2496 2957 密码：1209

报告摘要：

We consider the well-known Kyle-Back Strategic Insider Trading problem in the case of dynamic information.  Specifically, we assume that, besides knowing the law of the underlying asset at a future time, the insider also observes the liquidity value of the asset dynamically.  Assuming that the market price is determined via a Bertrand competition, hence the optional projection of the underlying asset value, we Markovize it by introducing an auxiliary diffusion process in the spirit of the weighted total order process, through a set of “pricing rule" functions. By considering a class of stochastic Two-Point Boundary Value Problems (STPBVP), which removes the martingale requirement of the popular dynamic Markov bridge in the literature, we propose a solution scheme for the equilibrium problem under a very general model of the underlying asset. In the case when the solution of STPBVP has an affine structure, we show that the pricing rule functions, whence the Kyle-Back equilibrium, can be determined by the decoupling field of a forward -backward SDE obtained via a non-linear filtering approach.

This talk is based on the joint work with Ying Tan.

主讲人介绍：

马进教授的主要研究兴趣包括随机分析、随机微分方程；正倒向随机微分方程及其数值方法；随机偏微分方程；随机偏微分方程、随机偏微分方程、路径相关偏微分方程和粗糙偏微分方程的粘性解理论；随机控制理论；数学金融；和随机保险。

马进教授在中国上海长大。他在上海复旦大学获得学士和硕士学位并随后担任讲师，1987年来到美国。在Naresh Jain教授的指导下，他获得了明尼苏达大学的博士学位。随后，他在普渡大学先后担任助理教授、副教授和教授，并于2007年转至南加州大学任教。

马进教授目前是四个研究性期刊的Associate Editor，自2007年起一直担任南加州大学Dornsife学院数学金融项目主任。

欢迎各位老师同学积极参加！