Information: price and impact on general welfare and optimal investment. an anticipative stochastic differential game model

DOI10.1239/aap/1300198514zbMath1217.91057OpenAlexW3125013971MaRDI QIDQ2996571

Christian-Oliver Ewald, Yajun Xiao

Publication date: 3 May 2011

Published in: Unnamed Author (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/aap/1300198514

zbMATH Keywords

informationstochastic differential gamefinancial market

Mathematics Subject Classification ID

Differential games (aspects of game theory) (91A23) Microeconomic theory (price theory and economic markets) (91B24) Applications of stochastic analysis (to PDEs, etc.) (60H30) Actuarial science and mathematical finance (91G99)

Related Items (4)

Short Communication: Chances for the Honest in Honest versus Insider Trading ⋮ A comparative analysis of the value of information in a continuous time market model with partial information: the cases of log-utility and CRRA ⋮ Stochastic differential games in insider markets via Malliavin calculus ⋮ Forward integration, convergence and non-adapted pointwise multipliers

Cites Work

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• OPTIMAL LOGARITHMIC UTILITY AND OPTIMAL PORTFOLIOS FOR AN INSIDER IN A STOCHASTIC VOLATILITY MARKET
• Anticipative portfolio optimization
• Malliavin's Calculus in Insider Models: Additional Utility and Free Lunches
• An Anticipating Calculus Approach to the Utility Maximization of an Insider
• Stochastic calculus with respect to continuous finite quadratic variation processes
• A UNIVERSAL OPTIMAL CONSUMPTION RATE FOR AN INSIDER
• UTILITY MAXIMIZATION IN AN INSIDER INFLUENCED MARKET

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