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An Anticipating Calculus Approach to the Utility Maximization of an Insider
Author(s) -
León Jorge A.,
Navarro Reyla,
Nualart David
Publication year - 2003
Publication title -
mathematical finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.98
H-Index - 81
eISSN - 1467-9965
pISSN - 0960-1627
DOI - 10.1111/1467-9965.00012
Subject(s) - insider , malliavin calculus , utility maximization , expected utility hypothesis , mathematical economics , terminal (telecommunication) , logarithm , maximization , insider trading , calculus (dental) , computer science , economics , mathematics , mathematical optimization , finance , medicine , mathematical analysis , telecommunications , stochastic partial differential equation , dentistry , differential equation , political science , law
In this paper we consider a financial market with an insider that has, at time t = 0 , some additional information of the whole developing of the market. We use the forward integral, which is an anticipating integral, and the techniques of the Malliavin calculus so that we can take advantage of the privileged information to maximize the expected logarithmic utility from terminal wealth.