Stochastic differential games in insider markets via Malliavin calculus (Q2250075)
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| Language | Label | Description | Also known as |
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| English | Stochastic differential games in insider markets via Malliavin calculus |
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Stochastic differential games in insider markets via Malliavin calculus (English)
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4 July 2014
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The paper deals with a class of two-player stochastic differential games, in which the players have different accesses to information. The state process is modelled as a jump-diffusion process. The information asymmetry is handled by considering measurability with respect to two different filtrations of \(\sigma\)-fields. The goal is to study the existence of the Nash equilibrium for given performance functionals. It is achieved with the help of Malliavin calculus and forward stochastic integrals.
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Malliavin calculus
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jump diffusion
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stochastic control
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asymmetric information
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stochastic differential game
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