Stochastic differential games with inside information

DOI10.1142/S0219025716500168zbMATH Open1349.91031arXiv1509.02952OpenAlexW2964218919MaRDI QIDQ2828064FDOQ2828064

Authors: Olfa Draouil, B. Øksendal 

Publication date: 24 October 2016

Published in: Infinite Dimensional Analysis, Quantum Probability and Related Topics (Search for Journal in Brave)

Abstract: We study stochastic differential games of jump diffusions, where the players have access to inside information. Our approach is based on anticipative stochastic calculus, white noise, Hida-Malliavin calculus, forward integrals and the Donsker delta functional. We obtain a characterization of Nash equilibria of such games in terms of the corresponding Hamiltonians. This is used to study applications to insider games in finance, specifically optimal insider consumption and optimal insider portfolio under model uncertainty.

Full work available at URL: https://arxiv.org/abs/1509.02952

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zbMATH Keywords

model uncertaintymaximum principlebackward stochastic differential equationoptimal controlstochastic differential gameswhite noiseinside informationjump-diffusionsanticipative stochastic calculusDonsker delta functionalHida-Malliavin calculusoptimal insider consumptionoptimal insider portfolio

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Differential games and control (49N70) 2-person games (91A05) Stochastic integrals (60H05) Applications of stochastic analysis (to PDEs, etc.) (60H30) White noise theory (60H40) Stochastic games, stochastic differential games (91A15) Financial applications of other theories (91G80) Optimal stochastic control (93E20)

Cites Work

• Risk minimization in financial markets modeled by Itô-Lévy processes
• MALLIAVIN CALCULUS AND ANTICIPATIVE ITÔ FORMULAE FOR LÉVY PROCESSES
• A general stochastic calculus approach to insider trading
• Dynamic robust duality in utility maximization
• The Donsker delta function of a Lévy process with application to chaos expansion of local time
• A representation theorem and a sensitivity result for functionals of jump diffusions
• A Donsker delta functional approach to optimal insider control and applications to finance

Cited In (9)

• Uncertainty and inside information
• The Malliavin calculus and stochastic differential games with information asymmetry
• Stochastic differential games in insider markets via Malliavin calculus
• Expected utility maximization for an insurer with investment and risk control under inside information
• Mean-variance asset-liability management with inside information
• Short communication: Chances for the honest in honest versus insider trading
• Robust optimal investment and reinsurance for an insurer with inside information
• A simple comparison between Skorokhod \& Russo-Vallois integration for insider trading
• Stochastic Differential Games and Intricacy of Information Structures

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