Stochastic Differential Games in Insider Markets via Malliavin Calculus
نویسندگان
چکیده
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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ورودعنوان ژورنال:
- J. Optimization Theory and Applications
دوره 160 شماره
صفحات -
تاریخ انتشار 2014