Stochastic differential games with inside information
Optimization and Control
2015-09-11 v1
Abstract
We study stochastic differential games of jump diffusions, where the players have access to inside information. Our approach is based on anticipative stochastic calculus, white noise, Hida-Malliavin calculus, forward integrals and the Donsker delta functional. We obtain a characterization of Nash equilibria of such games in terms of the corresponding Hamiltonians. This is used to study applications to insider games in finance, specifically optimal insider consumption and optimal insider portfolio under model uncertainty.
Keywords
Cite
@article{arxiv.1509.02952,
title = {Stochastic differential games with inside information},
author = {Olfa Draouil and Bernt Øksendal},
journal= {arXiv preprint arXiv:1509.02952},
year = {2015}
}
Comments
arXiv admin note: text overlap with arXiv:1504.02581