In this paper we suggest a general stochastic maximum principle for optimal control of anticipating stochastic differential equations driven by a Lévy type of noise. We use techniques of Malliavin calculus and forward ...

In this paper we use techniques of Malliavin calculus and forward integration to present a general stochastic maximum principle for anticipating stochastic differential equations driven by a Lévy type of noise. We apply ...

In this paper we introduce Skorohod-semimartingales as an expanded concept of classical semimartingales in the setting of Lévy processes. We show under mild conditions that Skorohod-semimartingales similarly to semimartingales ...

In this paper, we derive the evolution of a stock price from the dynamics of the "best bid" and "best ask". Under the assumption that the bid and ask prices are described by semimartingales, we study the completeness and ...