An anticipative stochastic minimum principle under enlarged filtrations (Q4986424)
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scientific article; zbMATH DE number 7339882
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An anticipative stochastic minimum principle under enlarged filtrations |
scientific article; zbMATH DE number 7339882 |
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An anticipative stochastic minimum principle under enlarged filtrations (English)
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27 April 2021
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stochastic minimum principle
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optimal control
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mean/minimal variance hedging
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wealth process
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self-financing portfolio
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anticipative calculus
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forward stochastic differential equation
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forward integral
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enlargement of filtration
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future information
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insider trading
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Lévy process
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