| Article ID: | iaor2014191 |
| Volume: | 160 |
| Issue: | 1 |
| Start Page Number: | 302 |
| End Page Number: | 343 |
| Publication Date: | Jan 2014 |
| Journal: | Journal of Optimization Theory and Applications |
| Authors: | Pamen O, Proske F, Salleh H |
| Keywords: | differential games, stochastic games |
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 our result to study a general stochastic differential game problem of an insider.