A simple comparison between Skorokhod & Russo-Vallois integration for insider trading

DOI10.1080/07362994.2017.1423231zbMath1390.60191arXiv1704.05014OpenAlexW2962770600MaRDI QIDQ4639180

No author found.

Publication date: 3 May 2018

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

Full work available at URL: https://arxiv.org/abs/1704.05014

zbMATH Keywords

insider tradingSkorokhod integralanticipating stochastic calculusRusso-Vallois forward integral

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (1)

Short Communication: Chances for the Honest in Honest versus Insider Trading

Cites Work

• Unnamed Item
• Unnamed Item
• A Donsker delta functional approach to optimal insider control and applications to finance
• Noise-induced transitions. Theory and applications in physics, chemistry, and biology
• Linear Skorohod stochastic differential equations
• Forward, backward and symmetric stochastic integration
• A general stochastic calculus approach to insider trading
• Stochastic differential games with inside information
• Optimal insider control and semimartingale decompositions under enlargement of filtration
• On a Generalization of a Stochastic Integral
• Anticipative portfolio optimization
• An Anticipating Calculus Approach to the Utility Maximization of an Insider
• Stochastic differential equations. An introduction with applications.

This page was built for publication: A simple comparison between Skorokhod & Russo-Vallois integration for insider trading