2015/09/09 by Olfa Draouil, Draouil, Olfa, Bernt Øksendal +1
Mathematics · #60Gxx #60H05 #60H07 #60H40 #60J75 #91G80 #93E10 #93E20 #FOS: Mathematics #Optimization and Control (math.OC) #math.OC #msc:60Gxx #msc:60H05 #msc:60H07 #msc:60H40 #msc:60J75 #msc:91G80 #msc:93E10 #msc:93E20
paper · pdf · doi:10.48550/arxiv.1509.02952
arXiv admin note: text overlap with arXiv:1504.02581
arxiv created 2015/09/09 · arxiv updated 2015/09/11
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.