An anticipative stochastic minimum principle under enlarged filtrations

DOI10.1080/07362994.2020.1794894zbMath1461.91273OpenAlexW2773257104MaRDI QIDQ4986424

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Publication date: 27 April 2021

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

Full work available at URL: https://doi.org/10.1080/07362994.2020.1794894

zbMATH Keywords

optimal controlLévy processenlargement of filtrationinsider tradingforward integralstochastic minimum principleself-financing portfoliofuture informationanticipative calculuswealth processforward stochastic differential equationmean/minimal variance hedging

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Portfolio theory (91G10) Financial markets (91G15)

Related Items (1)

Optimal equivalent probability measures under enlarged filtrations

Cites Work

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