• norsk
    • English
  • norsk 
    • norsk
    • English
  • Logg inn
Vis innførsel 
  •   Hjem
  • Norges Handelshøyskole
  • Publikasjoner fra CRIStin (NHH)
  • Vis innførsel
  •   Hjem
  • Norges Handelshøyskole
  • Publikasjoner fra CRIStin (NHH)
  • Vis innførsel
JavaScript is disabled for your browser. Some features of this site may not work without it.

A Donsker delta functional approach to optimal insider control and applications to finance

Draouil, Olfa; Øksendal, Bernt
Journal article, Peer reviewed
Accepted version
Thumbnail
Åpne
CIMS_13October2015%2CDraouil-Oksendal.pdf (454.4Kb)
Permanent lenke
http://hdl.handle.net/11250/2466127
Utgivelsesdato
2015
Metadata
Vis full innførsel
Samlinger
  • Articles (FOR) [100]
  • Publikasjoner fra CRIStin (NHH) [248]
Originalversjon
Communications in Mathematics and Statistics. 2015, 3 (3), 365-421.   10.1007/s40304-015-0065-y
Sammendrag
We study optimal insider control problems, i.e. optimal control problems of stochastic

systems where the controller at any time t, in addition to knowledge about the

history of the system up to this time, also has additional information related to a

future value of the system. Since this puts the associated controlled systems outside

the context of semimartingales, we apply anticipative white noise analysis, including

forward integration and Hida-Malliavin calculus to study the problem. Combining this

with Donsker delta functionals we transform the insider control problem into a classical

(but parametrised) adapted control system, albeit with a non-classical performance

functional. We establish a sufficient and a necessary maximum principle for such systems.

Then we apply the results to obtain explicit solutions for some optimal insider

portfolio problems in financial markets described by Itˆo-L´evy processes. Finally, in the

Appendix we give a brief survey of the concepts and results we need from the theory

of white noise, forward integrals and Hida-Malliavin calculus.
Tidsskrift
Communications in Mathematics and Statistics

Kontakt oss | Gi tilbakemelding

Personvernerklæring
DSpace software copyright © 2002-2019  DuraSpace

Levert av  Unit
 

 

Bla i

Hele arkivetDelarkiv og samlingerUtgivelsesdatoForfattereTitlerEmneordDokumenttyperTidsskrifterDenne samlingenUtgivelsesdatoForfattereTitlerEmneordDokumenttyperTidsskrifter

Min side

Logg inn

Statistikk

Besøksstatistikk

Kontakt oss | Gi tilbakemelding

Personvernerklæring
DSpace software copyright © 2002-2019  DuraSpace

Levert av  Unit