UTILITY MAXIMIZATION IN AN INSIDER INFLUENCED MARKET
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Publication:5472782
DOI10.1111/j.1467-9965.2006.00266.xzbMath1136.91450OpenAlexW2098682797MaRDI QIDQ5472782
Agnès Sulem, Arturo Kohatsu-Higa
Publication date: 12 June 2006
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://hal.inria.fr/inria-00070624/file/RR-5379.pdf
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic models in economics (91B70) Utility theory (91B16) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic integrals (60H05) Portfolio theory (91G10)
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Cites Work
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- Optimal consumption choices for a `large' investor
- Forward, backward and symmetric stochastic integration
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- The generalized covariation process and Itô formula
- ASYMMETRICAL INFORMATION AND INCOMPLETE MARKETS
- Malliavin's Calculus in Insider Models: Additional Utility and Free Lunches
- Stochastic calculus with respect to continuous finite quadratic variation processes
