Section: Scientific Foundations

Anticipative stochastic calculus and insider trading

Participants : A. Kohatsu-Higa, A. Sulem.

We study controlled stochastic systems whose state is described by anticipative stochastic differential equations. These SDEs can interpreted in the sense of forward integrals , which are the natural generalization of the semimartingale integrals [82] . This methodology is applied for utility maximization with insiders.