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.Comment: arXiv admin note: text overlap with arXiv:1504.0258

Røse, Elin

Øksendal, Bernt

English

arXiv

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

A white noise approach to insider trading

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