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Stochastic Differential Games in Insider Markets via Malliavin Calculus |
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| Authors: | O Menoukeu Pamen F Proske H Binti Salleh |
| Institution: | 1. Institute for Financial and Actuarial Mathematics, Department of Mathematics, University of Liverpool, Liverpool, UK 2. Department of Mathematics, University of Oslo, P.O. Box 1053, Blindern, 0316, Oslo, Norway 3. Department of Mathematics, Universiti Malaysia Terengganu, 21030, Kuala Terengganu, Terengganu, Malaysia |
| 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. |
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