Optimal insider control of stochastic partial differential equations
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Publication:4595008
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)
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.
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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
- A white noise approach to optimal insider control of systems with delay
- scientific article; zbMATH DE number 140586 (Why is no real title available?)
- Anticipative Stochastic Control for Lévy Processes With Application to Insider Trading
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