Stochastic differential games with inside information

DOI10.1142/S0219025716500168MaRDI QIDQ2828064zbMATH OpenOpenAlexFDO

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)

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

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)

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.

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Cites work

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

Cited in

(9)

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

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