A Donsker delta functional approach to optimal insider control and applications to finance
DOI10.1007/s40304-015-0065-yzbMath1341.49029arXiv1504.02581MaRDI QIDQ746170
Publication date: 16 October 2015
Published in: Communications in Mathematics and Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1504.02581
maximum principle; backward stochastic differential equations; white noise; anticipative stochastic calculus; Donsker delta functional; Hida-Malliavin calculus; optimal insider control
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
93E10: Estimation and detection in stochastic control theory
93E20: Optimal stochastic control
60H30: Applications of stochastic analysis (to PDEs, etc.)
91G80: Financial applications of other theories
60H40: White noise theory
60H05: Stochastic integrals
60H07: Stochastic calculus of variations and the Malliavin calculus
49K45: Optimality conditions for problems involving randomness
91G10: Portfolio theory
49J55: Existence of optimal solutions to problems involving randomness
