Stochastic Differential Games in Insider Markets via Malliavin Calculus
In this paper, we use techniques of Malliavin calculus and forward integration to present a general stochastic maximum principle for anticipating stochastic differential equations driven by a Lvy type of noise. We apply our result to study a general stochastic differential game problem of an insider.
stochastic differential game malliavin calculus maximum principle jump diffusion stochastic control insider information