A general maximum principle for anticipative stochastic control and applications to insider trading
DOI10.1007/978-3-642-18412-3_7zbMATH Open1233.91338OpenAlexW1594577523MaRDI QIDQ5198560FDOQ5198560
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
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Malliavin calculusmaximum principleinsider tradingforward integralSkorokhod integralanticipative stochastic control
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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