Stochastic Differential Games in Insider Markets via Malliavin Calculus
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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.
KeywordsMalliavin calculus Maximum principle Jump diffusion Stochastic control Insider information Stochastic differential game
The authors are grateful to two anonymous referees and Professor Franco Giannessi for their helpful comments and suggestions.
The research leading to these results has received funding from the European Research Council under the European Community’s Seventh Framework Programme (FP7/2007-2013) /ERC grant agreement No. .
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