Stochastic Differential Games in Insider Markets via Malliavin Calculus

O. Menoukeu Pamen (), F. Proske () and H. Binti Salleh ()
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O. Menoukeu Pamen: University of Liverpool
F. Proske: University of Oslo
H. Binti Salleh: Universiti Malaysia Terengganu

Journal of Optimization Theory and Applications, 2014, vol. 160, issue 1, No 15, 302-343

Abstract: Abstract 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.

Keywords: Malliavin calculus; Maximum principle; Jump diffusion; Stochastic control; Insider information; Stochastic differential game (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (2)

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DOI: 10.1007/s10957-013-0310-z

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