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Optimal insider control and semimartingale decompositions under enlargement of filtration (1512.01759v2)
Published 6 Dec 2015 in math.OC
Abstract: We combine stochastic control methods, white noise analysis and Hida-Malliavin calculus applied to the Donsker delta functional to obtain new representations of semimartingale decompositions under enlargement of filtrations. The results are illustrated by explicit examples.