Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: A Generalized Kyle-Back Strategic Insider Trading Model with Dynamic
  Information   In this paper we consider a class of generalized Kyle-Back strategic insider
trading models in which the insider is able to use the dynamic information
obtained by observing the instantaneous movement of an underlying asset that is
allowed to be influenced by its market price. Since such a model will be
largely outside the Gaussian paradigm, we shall try to Markovize it by
introducing an auxiliary diffusion process, in the spirit of the weighted total
order process of, e.g., \cite{CCD11}, as a part of the "pricing rule". As the
main technical tool in solving the Kyle-Back equilibrium, we study a class of
Stochastic Two-Point Boundary Value Problem (STPBVP), which resembles the
dynamic Markovian bridge in the literature, but without insisting on its local
martingale requirement. In the case when the solution of the 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, along with a set of
compatibility conditions.

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The categories of this paper are: hep-th
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The categories of this paper are: hep-ex
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The categories of this paper are: adap-org
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The categories of this paper are: gr-qc
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The categories of this paper are: mtrl-th
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The categories of this paper are: quant-ph
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The categories of this paper are: acc-phys
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The categories of this paper are: q-alg
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The categories of this paper are: alg-geom
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The categories of this paper are: math-ph
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The categories of this paper are: q-fin
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The categories of this paper are: chao-dyn
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The categories of this paper are: astro-ph
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The categories of this paper are: comp-gas
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The categories of this paper are: cmp-lg
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The categories of this paper are: hep-lat