Title: Honest and dishonest stochastic control for Lévy processes with application to property market
Authors: C. Achudume; C.R. Nwozo
Addresses: Department of Mathematics, University of Ibadan, Oyo State, Nigeria ' Department of Mathematics, University of Ibadan, Oyo State, Nigeria
Abstract: This work weighs the optimal profit of an honest agent who has access to additional information such as property maintenance, adequate security measures, than the one given by the development of the market and who takes advantage of this to optimise his position in the market. This is driven by the forward anticipating calculus while Malliavin derivatives model the dishonest agent, who is limited in information as a result of his inadequacy in property maintenance. A function f(t)is non-anticipative with respect to the Brownian motion z(t) if the value of the function at time t on the path of z(t) is determined by the past history of z(t) up to time t. It is non-anticipative in respect of an agent who may have: (i) less information from the general information generated by the market noise; (ii) a delayed information as such, we look at the flops of a dishonest agent and the rapid sales of property by the honest agent.
Keywords: honest agents; dishonest agents; Lévy processes; property markets; stochastic control.
International Journal of Financial Markets and Derivatives, 2015 Vol.4 No.2, pp.163 - 179
Available online: 19 Jun 2015 *Full-text access for editors Access for subscribers Purchase this article Comment on this article