The continuous-time version of Kyle's [6] model, known as the Back's [2] model, of asset pricing with asymmetric information, is studied. A larger class of price processes and a larger classes of noise traders' processes are studied. The price process, as in Kyle's [6] model, is allowed to depend on the path of the market order. The process of the noise traders' is considered to be an
... [Show full abstract] inhomogeneous Lévy process. The solutions are found with the use of the Hamilton-Jacobi-Bellman equations. With the informed agent being risk-neutral, the price pressure is constant over time, and there is no equilibirium in the presence of jumps. If the informed agent is risk-averse, there is no equilibirium in the presence of either jumps or drift in the process of the noise traders'.
