Stochastic Differential Games in Insider Markets via Malliavin Calculus

Stochastic Differential Games in Insider Markets via Malliavin Calculus

In this paper, we use techniques of Malliavin calculus and forward integration to present a general stochastic maximum principle for anticipating stochastic differential equations driven by a Lévy type of noise. We apply our result to study a general stochastic differential game problem of an inside...

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Veröffentlicht in:Journal of optimization theory and applications 2014, Vol.160 (1), p.302-343
Hauptverfasser: Pamen, O. Menoukeu, Proske, F., Salleh, H. Binti
Format: Artikel
Sprache:eng
Schlagworte:
Applications of Mathematics
Calculus
Calculus of Variations and Optimal Control
Optimization
Differential equations
Engineering
Equilibrium
Game theory
Integrals
Mathematical analysis
Mathematics
Mathematics and Statistics
Operations Research/Decision Theory
Optimization
Stochastic control theory
Studies
Theory of Computation
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Beschreibung
Zusammenfassung:In this paper, we use techniques of Malliavin calculus and forward integration to present a general stochastic maximum principle for anticipating stochastic differential equations driven by a Lévy type of noise. We apply our result to study a general stochastic differential game problem of an insider.
ISSN:0022-3239
1573-2878
DOI:10.1007/s10957-013-0310-z