A Donsker delta functional approach to optimal insider control and applications to finance
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Publication:746170
DOI10.1007/s40304-015-0065-yzbMath1341.49029arXiv1504.02581OpenAlexW1903997870MaRDI QIDQ746170
Publication date: 16 October 2015
Published in: Communications in Mathematics and Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1504.02581
maximum principlebackward stochastic differential equationswhite noiseanticipative stochastic calculusDonsker delta functionalHida-Malliavin calculusoptimal insider control
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Related Items (10)
A white noise approach to optimal insider control of systems with delay ⋮ Expected utility maximization for an insurer with investment and risk control under inside information ⋮ Short Communication: Chances for the Honest in Honest versus Insider Trading ⋮ Robust optimal investment and reinsurance for an insurer with inside information ⋮ Viable insider markets ⋮ A simple comparison between Skorokhod & Russo-Vallois integration for insider trading ⋮ Portfolio optimization of credit swap under funding costs ⋮ Derivative of the Donsker delta functionals ⋮ Stochastic differential games with inside information ⋮ Optimal insider control and semimartingale decompositions under enlargement of filtration
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