Stochastic differential games with inside information

DOI10.1142/S0219025716500168zbMath1349.91031arXiv1509.02952OpenAlexW2964218919MaRDI QIDQ2828064

Olfa Draouil, Bernt Øksendal

Publication date: 24 October 2016

Published in: Infinite Dimensional Analysis, Quantum Probability and Related Topics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1509.02952

zbMATH Keywords

optimal controlmaximum principlewhite noisebackward stochastic differential equationmodel uncertaintystochastic differential gamesinside informationjump-diffusionsanticipative stochastic calculusDonsker delta functionalHida-Malliavin calculusoptimal insider consumptionoptimal insider portfolio

Mathematics Subject Classification ID

Related Items (4)

Expected utility maximization for an insurer with investment and risk control under inside information ⋮ Short Communication: Chances for the Honest in Honest versus Insider Trading ⋮ Robust optimal investment and reinsurance for an insurer with inside information ⋮ A simple comparison between Skorokhod & Russo-Vallois integration for insider trading

Cites Work

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• Risk minimization in financial markets modeled by Itô-Lévy processes
• Dynamic robust duality in utility maximization
• A Donsker delta functional approach to optimal insider control and applications to finance
• The Donsker delta function of a Lévy process with application to chaos expansion of local time
• A general stochastic calculus approach to insider trading
• MALLIAVIN CALCULUS AND ANTICIPATIVE ITÔ FORMULAE FOR LÉVY PROCESSES

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