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A white noise approach to insider trading

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  • Bernt {O}ksendal
  • Elin R{o}se

Abstract

We present a new approach to the optimal portfolio problem for an insider with logarithmic utility. Our method is based on white noise theory, stochastic forward integrals, Hida-Malliavin calculus and the Donsker delta function.

Suggested Citation

  • Bernt {O}ksendal & Elin R{o}se, 2015. "A white noise approach to insider trading," Papers 1508.06376, arXiv.org.
    • Handle: RePEc:arx:papers:1508.06376
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    References listed on IDEAS

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    1. Jan Ubøe & Bernt Øksendal & Knut Aase & Nicolas Privault, 2000. "White noise generalizations of the Clark-Haussmann-Ocone theorem with application to mathematical finance," Finance and Stochastics, Springer, vol. 4(4), pages 465-496.
    2. Monique Jeanblanc & Marc Yor & Marc Chesney, 2010. "Mathematical Methods for Financial Markets," Finance, Presses universitaires de Grenoble, vol. 31(1), pages 81-85.
    3. Russo, Francesco & Vallois, Pierre, 1995. "The generalized covariation process and Ito formula," Stochastic Processes and their Applications, Elsevier, vol. 59(1), pages 81-104, September.
    4. Giulia Di Nunno & Thilo Meyer-Brandis & Bernt Øksendal & Frank Proske, 2006. "Optimal portfolio for an insider in a market driven by Levy processes," Quantitative Finance, Taylor & Francis Journals, vol. 6(1), pages 83-94.
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