A General Maximum Principle for Anticipative Stochastic Control and Applications to Insider Trading

DOI10.1007/978-3-642-18412-3_7zbMath1233.91338OpenAlexW1594577523MaRDI QIDQ5198560

Olivier Menoukeu Pamen, Giulia Di Nunno, Frank Norbert Proske, Bernt Øksendal

Publication date: 8 August 2011

Published in: Advanced Mathematical Methods for Finance (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10852/10238

zbMATH Keywords

maximum principleMalliavin calculusinsider tradingSkorokhod integralforward integralanticipative stochastic control

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Financial applications of other theories (91G80) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (6)

Viable insider markets ⋮ Maximum principles of Markov regime-switching forward-backward stochastic differential equations with jumps and partial information ⋮ KYLE–BACK’S MODEL WITH A RANDOM HORIZON ⋮ Stochastic differential games in insider markets via Malliavin calculus ⋮ Brief history of optimal control theory and some recent developments ⋮ Kyle equilibrium under random price pressure

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