Anticipative Stochastic Control for Lévy Processes With Application to Insider Trading

DOI10.1016/S1570-8659(08)00014-8zbMath1180.91142OpenAlexW2145606857MaRDI QIDQ3631197

Agnès Sulem, Giulia Di Nunno, Frank Norbert Proske, Arturo Kohatsu-Higa, Bernt Øksendal

Publication date: 5 June 2009

Published in: Special Volume: Mathematical Modeling and Numerical Methods in Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s1570-8659(08)00014-8

zbMATH Keywords

Lévy processoptimal portfolioinsider trading``large insiderforward anticipating calculus

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Microeconomic theory (price theory and economic markets) (91B24) Financial applications of other theories (91G80) Economics of information (91B44)

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Pricing of claims in discrete time with partial information ⋮ KYLE–BACK’S MODEL WITH A RANDOM HORIZON ⋮ A generalised Itō formula for Lévy-driven Volterra processes

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