Erratum to: ``A Donsker delta functional approach to optimal insider control and applications to finance

DOI10.1007/S40304-015-0074-XzbMath1398.49020OpenAlexW2176172462MaRDI QIDQ902288

Olfa Draouil, Bernt Øksendal

Publication date: 7 January 2016

Published in: Communications in Mathematics and Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s40304-015-0074-x

zbMATH Keywords

maximum principlebackward stochastic differential equationswhite noiseanticipative stochastic calculusDonsker delta functionalHida-Malliavin calculusoptimal insider control

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) White noise theory (60H40) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07) Optimality conditions for problems involving randomness (49K45) Portfolio theory (91G10) Existence of optimal solutions to problems involving randomness (49J55)

Related Items (2)

Space-Time Stochastic Calculus and White Noise ⋮ Optimal insider control of stochastic partial differential equations

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