Honest and dishonest stochastic control for Lévy processes with application to property market

C. Achudume and C.R. Nwozo

International Journal of Financial Markets and Derivatives, 2015, vol. 4, issue 2, 163-179

Abstract: This work weighs the optimal profit of an honest agent who has access to additional information such as property maintenance, adequate security measures, than the one given by the development of the market and who takes advantage of this to optimise his position in the market. This is driven by the forward anticipating calculus while Malliavin derivatives model the dishonest agent, who is limited in information as a result of his inadequacy in property maintenance. A function f(t)is non-anticipative with respect to the Brownian motion z(t) if the value of the function at time t on the path of z(t) is determined by the past history of z(t) up to time t. It is non-anticipative in respect of an agent who may have: (i) less information from the general information generated by the market noise; (ii) a delayed information as such, we look at the flops of a dishonest agent and the rapid sales of property by the honest agent.

Keywords: honest agents; dishonest agents; Lévy processes; property markets; stochastic control. (search for similar items in EconPapers)
Date: 2015
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