2017/03/27 by Olfa Draouil, Draouil, Olfa
Economics, Econometrics and Finance · Mathematics · #Complex Systems and Time Series Analysis #FOS: Mathematics #Financial Risk and Volatility Modeling #Optimization and Control (math.OC) #Stochastic processes and financial applications #math.OC
paper · pdf · doi:10.48550/arxiv.1703.08958
24 pages. arXiv admin note: substantial text overlap with arXiv:1610.07311
arxiv created 2017/03/27 · openalex publication_date 2017/03/27 · arxiv updated 2017/03/28 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
We study the problem of optimal inside control of a stochastic Volterra equation driven by a Brownian motion and a Poisson random measure. We prove a sufficient and a necessary maximum principle for the optimal control when the trader has only partial information available to her decisions and on the other hand, may have some inside information about the future of the system. The results are applied to the problem of finding the optimal insider portfolio in a financial market where the risky asset price is given by a stochastic Volterra equation.