Optimal insider control of stochastic partial differential equations

DOI10.1142/S0219493718500144zbMATH Open1386.60215arXiv1607.00197OpenAlexW2962907991MaRDI QIDQ4595008FDOQ4595008

Authors: Olfa Draouil, B. Øksendal 

Publication date: 27 November 2017

Published in: Stochastics and Dynamics (Search for Journal in Brave)

Abstract: We study the problem of optimal inside control of an SPDE (a stochastic evolution equation) driven by a Brownian motion and a Poisson random measure. Our optimal control problem is new in two ways: (i) The controller has access to inside information, i.e. access to information about a future state of the system, (ii) The integro-differential operator of the SPDE might depend on the control. In the first part of the paper, we formulate a sufficient and a necessary maximum principle for this type of control problem, in two cases: (1) When the control is allowed to depend both on time t and on the space variable x. (2) When the control is not allowed to depend on x. In the second part of the paper, we apply the results above to the problem of optimal control of an SDE system when the inside controller has only noisy observations of the state of the system. Using results from nonlinear filtering, we transform this noisy observation SDE inside control problem into a full observation SPDE insider control problem. The results are illustrated by explicit examples.

Full work available at URL: https://arxiv.org/abs/1607.00197

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zbMATH Keywords

Donsker delta functionaloptimal insider controlstochastic partial differential equation (SPDE)

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Differential games (aspects of game theory) (91A23) Production theory, theory of the firm (91B38) Stochastic games, stochastic differential games (91A15) Economic dynamics (91B55) Stochastic models in economics (91B70) Optimal stochastic control (93E20)

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Cited In (5)

• An optimal transport problem with backward martingale constraints motivated by insider trading
• Optimal insider control and semimartingale decompositions under enlargement of filtration
• Title not available (Why is that?)
• Anticipative Stochastic Control for Lévy Processes With Application to Insider Trading
• A white noise approach to optimal insider control of systems with delay

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