Information: price and impact on general welfare and optimal investment. an anticipative stochastic differential game model
DOI10.1239/AAP/1300198514zbMATH Open1217.91057OpenAlexW3125013971MaRDI QIDQ2996571FDOQ2996571
Christian-Oliver Ewald, Yajun Xiao
Publication date: 3 May 2011
Published in: Advances in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1239/aap/1300198514
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Differential games (aspects of game theory) (91A23) Applications of stochastic analysis (to PDEs, etc.) (60H30) Microeconomic theory (price theory and economic markets) (91B24) Actuarial science and mathematical finance (91G99)
Cites Work
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- Additional utility of insiders with imperfect dynamical information
- Anticipative portfolio optimization
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- Forward, backward and symmetric stochastic integration
- A general stochastic calculus approach to insider trading
- An Anticipating Calculus Approach to the Utility Maximization of an Insider
- A UNIVERSAL OPTIMAL CONSUMPTION RATE FOR AN INSIDER
- UTILITY MAXIMIZATION IN AN INSIDER INFLUENCED MARKET
- Stochastic calculus with respect to continuous finite quadratic variation processes
- OPTIMAL LOGARITHMIC UTILITY AND OPTIMAL PORTFOLIOS FOR AN INSIDER IN A STOCHASTIC VOLATILITY MARKET
- Malliavin's Calculus in Insider Models: Additional Utility and Free Lunches
Cited In (4)
- Stochastic differential games in insider markets via Malliavin calculus
- A comparative analysis of the value of information in a continuous time market model with partial information: the cases of log-utility and CRRA
- Forward integration, convergence and non-adapted pointwise multipliers
- Short Communication: Chances for the Honest in Honest versus Insider Trading
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