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Stochastic Differential Games in Insider Markets via Malliavin Calculus

Author

Listed:
  • O. Menoukeu Pamen

    (University of Liverpool)

  • F. Proske

    (University of Oslo)

  • H. Binti Salleh

    (Universiti Malaysia Terengganu)

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.

Suggested Citation

  • O. Menoukeu Pamen & F. Proske & H. Binti Salleh, 2014. "Stochastic Differential Games in Insider Markets via Malliavin Calculus," Journal of Optimization Theory and Applications, Springer, vol. 160(1), pages 302-343, January.
    • Handle: RePEc:spr:joptap:v:160:y:2014:i:1:d:10.1007_s10957-013-0310-z
    DOI: 10.1007/s10957-013-0310-z
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    References listed on IDEAS

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    1. Ewald, Christian-Oliver & Xiao, Yajun, 2007. "Information : Price And Impact On General Welfare And Optimal Investment. An Anticipative Stochastic Differential Game Model," MPRA Paper 3301, University Library of Munich, Germany.
    2. Arturo Kohatsu‐Higa & Agnès Sulem, 2006. "Utility Maximization In An Insider Influenced Market," Mathematical Finance, Wiley Blackwell, vol. 16(1), pages 153-179, January.
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    Cited by:

    1. Peng, Xingchun & Wang, Wenyuan, 2016. "Optimal investment and risk control for an insurer under inside information," Insurance: Mathematics and Economics, Elsevier, vol. 69(C), pages 104-116.

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