Name
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. |
Year | DOI | Venue |
|---|---|---|
2014 | 10.1007/s10957-013-0310-z | J. Optimization Theory and Applications |
Keywords | Field | DocType |
Malliavin calculus, Maximum principle, Jump diffusion, Stochastic control, Insider information, Stochastic differential game | Mathematical optimization,Mathematical economics,Multivariable calculus,Stochastic calculus,Time-scale calculus,Differential game,Stochastic differential equation,Continuous-time stochastic process,Malliavin calculus,Stochastic modelling,Mathematics | Journal |
Volume | Issue | ISSN |
160 | 1 | 1573-2878 |
Citations | PageRank | References |
1 | 0.37 | 0 |
Authors | ||
3 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| O. Menoukeu Pamen | 1 | 1 | 0.37 |
| Frank Proske | 2 | 12 | 2.54 |
| H. Binti Salleh | 3 | 1 | 0.37 |