The Malliavin Calculus and Stochastic Differential Games with Information Asymmetry

摘要：

In this article we show how the classical probabilistic technique of Malliavin calculus can be applied to study interesting aspects in the theory of stochastic differential games. These include in particular the aspect of information asymmetry. We identify the limitations of the classical setup and show how Malliavin calculus can overcome these.

关键词： Stochastic differential games Malliavin calculus dynamic games information asymmetry

作者: Christian-Oliver Ewald

作者单位: School of Economics and Finance, University of St. Andrews, UK

会议类型: 国际会议

会议名称: 第二届中国对策论及其应用国际学术会议(The Second International Conference on Game Theory and Applications)

会议地点: 青岛

会议语种:英文

页码: 26-29

在线出版日期: 2007-09-17（万方平台首次上网日期，不代表论文的发表时间）