Maximum principle via Malliavin calculus for regular-singular stochastic differential games

2017 ◽  
Vol 12 (6) ◽  
pp. 1301-1314
Author(s):  
Yan Wang ◽  
Aimin Song ◽  
Lei Wang ◽  
Jie Sun
Keyword(s):  
Maximum Principle ◽  
Differential Games ◽  
Malliavin Calculus ◽  
Stochastic Differential Games

scholarly journals Stochastic differential games with inside information

2016 ◽  
Vol 19 (03) ◽  
pp. 1650016 ◽  
Author(s):  
Olfa Draouil ◽  
Bernt Øksendal
Keyword(s):  
White Noise ◽  
Differential Games ◽  
Malliavin Calculus ◽  
Model Uncertainty ◽  
Nash Equilibria ◽  
Stochastic Calculus ◽  
Stochastic Differential Games ◽  
Inside Information ◽  
Jump Diffusions

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.

Sign in / Sign up

Export Citation Format

Share Document