A general maximum principle for anticipative stochastic control and applications to insider trading

DOI10.1007/978-3-642-18412-3_7MaRDI QIDQ5198560zbMATH OpenOpenAlexFDO

Authors Giulia Di Nunno, Olivier Menoukeu-Pamen, B. Øksendal, F. Proske

Publication date 8 August 2011

Published in Advanced Mathematical Methods for Finance (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10852/10238

zbMATH Keywords

Malliavin calculusmaximum principleinsider tradingforward integralSkorokhod integralanticipative stochastic control

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80) Optimal stochastic control (93E20)

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