Stochastic Differential Games in Insider Markets via Malliavin Calculus
نویسندگان
چکیده
منابع مشابه
Stochastic Differential Games in Insider Markets via Malliavin Calculus
In this paper we use techniques of Malliavin calculus and forward integration to present a general stochastic maximum principle for anticipating stochastic differential equations driven by a Lévy type of noise. We apply our result to study a general stochastic differential game problem of an insider. MSC2010 : 60G51, 60H40, 60H10, 60HXX, 93E20
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ژورنال
عنوان ژورنال: Journal of Optimization Theory and Applications
سال: 2013
ISSN: 0022-3239,1573-2878
DOI: 10.1007/s10957-013-0310-z