A white noise approach to optimal insider control of systems with delay

DOI10.1016/j.jmaa.2019.02.065zbMath1411.91496arXiv1610.07311OpenAlexW2805179815WikidataQ128290311 ScholiaQ128290311MaRDI QIDQ2633842

Olfa Draouil, Bernt Øksendal

Publication date: 10 May 2019

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1610.07311

zbMATH Keywords

stochastic delay equationoptimal insider controlHida-Malliavin derivativestochastic maximum principlesoptimal insider portfolio in a financial market with delaytime-advanced BSDE

Mathematics Subject Classification ID

Applications of optimal control and differential games (49N90) Stochastic calculus of variations and the Malliavin calculus (60H07) Portfolio theory (91G10)

Related Items (1)

Stability and bifurcation for a single-species model with delay weak kernel and constant rate harvesting

Cites Work

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