An anticipative stochastic minimum principle under enlarged filtrations
DOI10.1080/07362994.2020.1794894zbMath1461.91273OpenAlexW2773257104MaRDI QIDQ4986424
No author found.
Publication date: 27 April 2021
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07362994.2020.1794894
optimal controlLévy processenlargement of filtrationinsider tradingforward integralstochastic minimum principleself-financing portfoliofuture informationanticipative calculuswealth processforward stochastic differential equationmean/minimal variance hedging
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Portfolio theory (91G10) Financial markets (91G15)
Related Items (1)
Cites Work
- Unnamed Item
- Malliavin calculus and optimal control of stochastic Volterra equations
- Risk minimization in financial markets modeled by Itô-Lévy processes
- Harnesses, Lévy bridges and Monsieur Jourdain
- A general stochastic calculus approach to insider trading
- MODELING AND PRICING PRECIPITATION DERIVATIVES UNDER WEATHER FORECASTS
- A Maximum Principle for Stochastic Control with Partial Information
- Financial Modelling with Jump Processes
- MINIMAL VARIANCE HEDGING FOR INSIDER TRADING
- Models for Insider Trading with Finite Utility
- A UNIVERSAL OPTIMAL CONSUMPTION RATE FOR AN INSIDER
- Optimal portfolio for an insider in a market driven by Lévy processes§
- Applied stochastic control of jump diffusions
This page was built for publication: An anticipative stochastic minimum principle under enlarged filtrations