An Anticipating Calculus Approach to the Utility Maximization of an Insider
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Publication:4409044
DOI10.1111/1467-9965.00012zbMath1060.91054OpenAlexW3122488785MaRDI QIDQ4409044
David Nualart, Reyla Navarro, Jorge A. Leon
Publication date: 2003
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/1467-9965.00012
Utility theory (91B16) Stochastic calculus of variations and the Malliavin calculus (60H07) Portfolio theory (91G10)
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Cites Work
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- Convex duality in constrained portfolio optimization
- An extension of Itô's formula for anticipating processes
- Forward, backward and symmetric stochastic integration
- Canonical decomposition of linear transformations of two independent Brownian motions motivated by models of insider trading
- Additional logarithmic utility of an insider
- Martingale representation theorems for initially enlarged filtrations.
- Martingale and Duality Methods for Utility Maximization in an Incomplete Market
- Optimization Problems in the Theory of Continuous Trading
- Anticipative portfolio optimization
