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Optimal portfolio for an insider in a market driven by Lévy processes§ - MaRDI portal

Optimal portfolio for an insider in a market driven by Lévy processes§ (Q5475314)

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scientific article; zbMATH DE number 5033354
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Optimal portfolio for an insider in a market driven by Lévy processes§
scientific article; zbMATH DE number 5033354

    Statements

    title
    Optimal portfolio for an insider in a market driven by Lévy processes§ (English)
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    author
    Giulia Di Nunno
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    Thilo Meyer-Brandis
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    Bernt Øksendal
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    Frank Norbert Proske
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    publication date
    16 June 2006
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    zbMATH Keywords
    forward integral
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    Malliavin derivative
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    insider trading
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    utility function
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    enlargement of filtration
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    Identifiers

    zbMATH DE Number
    5033354
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    OpenAlex ID
    W2153147321
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