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math.OC2015
Optimal insider control and semimartingale decompositions under enlargement of filtration
Olfa Draouil, Bernt Øksendal
We combine stochastic control methods, white noise analysis and Hida-Malliavin calculus applied to the Donsker delta functional to obtain new representations of semimartingale deco…
math.OC2015
Stochastic differential games with inside information
Olfa Draouil, Bernt Øksendal
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 noi…
math.OC2015
A Donsker delta functional approach to optimal insider control and applications to finance
Olfa Draouil, Bernt Øksendal
We study \emph{optimal insider control problems}, i.e. optimal control problems of stochastic systems where the controller at any time in addition to knowledge about the histor…