scholarly journals Good rough path sequences and applications to anticipating stochastic calculus

2007 ◽  
Vol 35 (3) ◽  
pp. 1172-1193 ◽  
Author(s):  
Laure Coutin ◽  
Peter Friz ◽  
Nicolas Victoir
Keyword(s):  
Stochastic Calculus ◽  
Rough Path ◽  
Anticipating Stochastic Calculus

scholarly journals Rough path theory and stochastic calculus

2019 ◽  
Vol 32 (1) ◽  
pp. 113-136
Author(s):  
Yuzuru Inahama
Keyword(s):  
Stochastic Calculus ◽  
Rough Path ◽  
Rough Path Theory

scholarly journals Optimal Portfolios for Different Anticipating Integrals under Insider Information

Mathematics ◽  
2020 ◽  
Vol 9 (1) ◽  
pp. 75
Author(s):  
Carlos Escudero ◽  
Sandra Ranilla-Cortina
Keyword(s):  
Portfolio Optimization ◽  
Financial Market ◽  
Investment Strategy ◽  
Stochastic Calculus ◽  
Optimal Portfolio ◽  
Simple Problem ◽  
Optimal Portfolios ◽  
Insider Information ◽  
Anticipating Stochastic Calculus ◽  
Potential Use

We consider the non-adapted version of a simple problem of portfolio optimization in a financial market that results from the presence of insider information. We analyze it via anticipating stochastic calculus and compare the results obtained by means of the Russo-Vallois forward, the Ayed-Kuo, and the Hitsuda-Skorokhod integrals. We compute the optimal portfolio for each of these cases with the aim of establishing a comparison between these integrals in order to clarify their potential use in this type of problem. Our results give a partial indication that, while the forward integral yields a portfolio that is financially meaningful, the Ayed-Kuo and the Hitsuda-Skorokhod integrals do not provide an appropriate investment strategy for this problem.

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