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A white noise approach to insider trading

Published 26 Aug 2015 in q-fin.PM, math.OC, and math.PR | (1508.06376v1)

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.

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Authors (2)

  1. Bernt Øksendal 
  2. Elin Røse 

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