Anticipative stochastic control for Lévy processes with application to insider trading
نویسندگان
چکیده
An insider is an agent who has access to larger information than the one given by the development of the market events and who takes advantage of this in optimizing his position in the market . In this paper we consider the optimization problem of an insider who is so influential in the market to affect the price dynamics: in this sense he is called a “large” insider. The optimal portfolio problem for a general utility function is studied for a financial market driven by a Lévy process in the framework of forward anticipating calculus.
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