Optimal insider control and semimartingale decompositions under enlargement of filtration

DOI10.1080/07362994.2016.1200989zbMath1350.60065arXiv1512.01759OpenAlexW2261131451MaRDI QIDQ2830713

Olfa Draouil, Bernt Øksendal

Publication date: 28 October 2016

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

Full work available at URL: https://arxiv.org/abs/1512.01759

zbMATH Keywords

white noise analysisjump-diffusionfiltration enlargementsemimartingale decompositionDonsker delta functionalHida-Malliavin calculusoptimal insider control

Mathematics Subject Classification ID

Related Items (6)

A white noise approach to optimal insider control of systems with delay ⋮ Short Communication: Chances for the Honest in Honest versus Insider Trading ⋮ Optimal insider control of stochastic partial differential equations ⋮ KYLE–BACK’S MODEL WITH A RANDOM HORIZON ⋮ A simple comparison between Skorokhod & Russo-Vallois integration for insider trading ⋮ Kyle equilibrium under random price pressure

Cites Work

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• Harnesses, Lévy bridges and Monsieur Jourdain
• Optimal portfolio for an insider in a market driven by Lévy processes§
• Using the Donsker delta function to compute hedging strategies

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