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Anticipative stochastic control for Lévy processes with application to insider trading Previous title: Optimal Portfolio for a "large" Insider in a Market driven by Lévy Processes
(Research report / Forskningsrapport, 2005)
An insider is an agent who has access to larger information than the one given by the development of the market events and who takes advantage of this in optimizing his position in the market. In this paper we consider the ...