| Abstract: |
| A classical problem in the field of stochastic control is how to choose an optimal portfolio when a set of investment possibilities is open. When the investor is a dishonest trader who possesses privileged information on the future value of a stock, the problem cannot be modelled using the traditional stochastic framework of It\^o integration. We will briefly discuss how to extend this framework to that of anticipating stochastic calculus in order to obtain a well-posed system of stochastic differential equations; we will also describe the potential paradoxes that may arise in this theoretical pathway. |
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