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

DOI10.1239/AAP/1300198514MaRDI QIDQ2996571zbMATHOpenAlexFDO

Authors 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

zbMATH Keywords

informationfinancial marketstochastic differential game

Mathematics Subject Classification ID

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)

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Cites work

• scientific article; zbMATH DE number 192908 (Why is no real title available?)
• scientific article; zbMATH DE number 785439 (Why is no real title available?)
• A UNIVERSAL OPTIMAL CONSUMPTION RATE FOR AN INSIDER
• A general stochastic calculus approach to insider trading
• Additional utility of insiders with imperfect dynamical information
• An Anticipating Calculus Approach to the Utility Maximization of an Insider
• Anticipative portfolio optimization
• Forward, backward and symmetric stochastic integration
• Malliavin's Calculus in Insider Models: Additional Utility and Free Lunches
• OPTIMAL LOGARITHMIC UTILITY AND OPTIMAL PORTFOLIOS FOR AN INSIDER IN A STOCHASTIC VOLATILITY MARKET
• Stochastic calculus with respect to continuous finite quadratic variation processes
• UTILITY MAXIMIZATION IN AN INSIDER INFLUENCED MARKET

Cited in

(5)

• Forward integration, convergence and non-adapted pointwise multipliers
• Endogenous public information and welfare in market games
• 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
• Short communication: Chances for the honest in honest versus insider trading

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