A UNIVERSAL OPTIMAL CONSUMPTION RATE FOR AN INSIDER

DOI10.1111/j.1467-9965.2006.00264.xzbMath1136.91456OpenAlexW2087510059MaRDI QIDQ5472780

Bernt Øksendal

Publication date: 12 June 2006

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10852/10622

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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White noise calculus in applications to stochastic equations in Hilbert spaces ⋮ MINIMAL VARIANCE HEDGING FOR INSIDER TRADING ⋮ Information: price and impact on general welfare and optimal investment. an anticipative stochastic differential game model ⋮ A stochastic linear-quadratic problem with Lévy processes and its application to finance ⋮ An anticipative stochastic minimum principle under enlarged filtrations ⋮ A maximum principle for optimal control problem of fully coupled forward-backward stochastic systems with partial information ⋮ Stochastic Linear Quadratic Stackelberg Differential Game with Overlapping Information

Cites Work

• Forward, backward and symmetric stochastic integration
• Stochastic calculus with respect to continuous finite quadratic variation processes
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