Viable insider markets

DOI10.1080/17442508.2019.1612895zbMath1492.60163arXiv1801.03720OpenAlexW2963558298MaRDI QIDQ5087037

Olfa Draouil, Bernt Øksendal

Publication date: 8 July 2022

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1801.03720

zbMATH Keywords

stochastic differential equationinside informationlogarithmic utilityDonsker delta functionalHida-Malliavin calculusoptimal insider controlforward integralsviable financial market

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic models in economics (91B70) Brownian motion (60J65) Optimal stochastic control (93E20) Financial applications of other theories (91G80) White noise theory (60H40) Economic dynamics (91B55)

Cites Work

• A Donsker delta functional approach to optimal insider control and applications to finance
• Semi-martingales et grossissement d'une filtration
• Forward, backward and symmetric stochastic integration
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• The Donsker delta function of a Lévy process with application to chaos expansion of local time
• The generalized covariation process and Itô formula
• A general stochastic calculus approach to insider trading
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• Stochastic calculus with respect to continuous finite quadratic variation processes
• A General Maximum Principle for Anticipative Stochastic Control and Applications to Insider Trading
• MALLIAVIN CALCULUS AND ANTICIPATIVE ITÔ FORMULAE FOR LÉVY PROCESSES
• EXISTENCE OF AN EQUILIBRIUM WITH DISCONTINUOUS PRICES, ASYMMETRIC INFORMATION, AND NONTRIVIAL INITIAL σ‐FIELDS
• Optimal portfolio for an insider in a market driven by Lévy processes§
• White noise generalizations of the Clark-Haussmann-Ocone theorem with application to mathematical finance
• Using the Donsker delta function to compute hedging strategies
• A White Noise Approach to Insider Trading
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