2019
DOI: 10.1016/j.jmaa.2019.02.065
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A white noise approach to optimal insider control of systems with delay

Abstract: MSC(2010): 60H05; 60H07; 60H40; 60G57; 91B70; 93E20.Keywords: Stochastic delay equation, optimal insider control, Hida-Malliavin derivative, Donsker delta functional, white noise theory, stochastic maximum principles, time-advanced BSDE, optimal insider portfolio in a financial market with delay. AbstractWe use a white noise approach to study the problem of optimal inside control of a stochastic delay equation driven by a Brownian motion B and a Poisson random measure N . In particular, we use Hida-Malliavin c… Show more

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Cited by 3 publications
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“…Time-delay phenomenon is an important factor a ecting the stability of systems. Many scholars in the eld of mathematical biology solved biological problems by studying this phenomenon, for example, discrete delay [14], delay dependent parameters [15], distributed delays [16], variable delays [17], and stochastic model with delays [18][19][20][21][22]. e logistic growth model with discrete delay τ (Hutchinson [23]) is governed by…”
Section: Introductionmentioning
confidence: 99%
“…Time-delay phenomenon is an important factor a ecting the stability of systems. Many scholars in the eld of mathematical biology solved biological problems by studying this phenomenon, for example, discrete delay [14], delay dependent parameters [15], distributed delays [16], variable delays [17], and stochastic model with delays [18][19][20][21][22]. e logistic growth model with discrete delay τ (Hutchinson [23]) is governed by…”
Section: Introductionmentioning
confidence: 99%