scientific article; zbMATH DE number 5309885

MaRDI QIDQ3517062zbMATH OpenFDO

Authors Yajun Xiao, Christian-Oliver Ewald

Publication date 12 August 2008

zbMATH Keywords

informationstochastic differential gamesfinancial marketsutility function

Mathematics Subject Classification ID

Differential games (aspects of game theory) (91A23) Stochastic games, stochastic differential games (91A15)

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Cited in

(2)

• Optimal portfolio for an insider in a market driven by Lévy processes§
• Stochastic differential games with inside information

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