Stochastic maximum principle for non-zero sum differential games of FBSDEs with impulse controls and its application to finance (Q2514637): Difference between revisions

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scientific article

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English	Stochastic maximum principle for non-zero sum differential games of FBSDEs with impulse controls and its application to finance	scientific article

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scholarly article

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title

Stochastic maximum principle for non-zero sum differential games of FBSDEs with impulse controls and its application to finance (English)

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Journal of Industrial and Management Optimization

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publication date

3 February 2015

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zbMATH Keywords

non-zero sum stochastic differential game

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forward-backward stochastic differential equations

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impulse controls

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open-loop Nash equilibrium point

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maximum principle

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stochastic recursive utility

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.3934/jimo.2015.11.27

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cites work

Maximum principle for stochastic differential games with partial information

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Dynamic noncooperative game theory

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Q4742671

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The Stochastic Maximum Principle for Linear, Convex Optimal Control with Random Coefficients

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Classical and Impulse Stochastic Control of the Exchange Rate Using Interest Rates and Reserves

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Portfolio Selection with Transaction Costs

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Stochastic Differential Utility

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Backward Stochastic Differential Equations in Finance

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Nonzero sum linear–quadratic stochastic differential games and backward–forward equations

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Maximum principle for differential games of forward-backward stochastic systems with applications

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Q5532185

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Impulse Control Method and Exchange Rate

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Some applications of impulse control in mathematical finance

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Risk-sensitive control with HARA utility

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Q4457523

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Optimal Consumption and Portfolio with Both Fixed and Proportional Transaction Costs

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A differential game with multi-level of hierarchy

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Adapted solution of a backward stochastic differential equation

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A General Stochastic Maximum Principle for Optimal Control Problems

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Backward stochastic differential equations and applications to optimal control

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The Maximum Principles for Stochastic Recursive Optimal Control Problems Under Partial Information

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A Pontryagin's Maximum Principle for Non-Zero Sum Differential Games of BSDEs with Applications

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A partial information non-zero sum differential game of backward stochastic differential equations with applications

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Q4266941

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Stochastic maximum principle for optimal control problem of forward and backward system

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Cooperative Stochastic Differential Games

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A Leader-Follower Stochastic Linear Quadratic Differential Game

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Identifiers

zbMATH Open document ID

1307.93448

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DOI

10.3934/jimo.2015.11.27

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:2514637

@@ Property / cites work @@
+Maximum principle for stochastic differential games with partial information
+Normal rank
@@ Property / cites work @@
+Dynamic noncooperative game theory
@@ Property / cites work: Dynamic noncooperative game theory / rank @@
+Normal rank
@@ Property / cites work @@
+Q4742671
@@ Property / cites work: Q4742671 / rank @@
+Normal rank
@@ Property / cites work @@
+The Stochastic Maximum Principle for Linear, Convex Optimal Control with Random Coefficients
+Normal rank
@@ Property / cites work @@
+Classical and Impulse Stochastic Control of the Exchange Rate Using Interest Rates and Reserves
+Normal rank
@@ Property / cites work @@
+Portfolio Selection with Transaction Costs
@@ Property / cites work: Portfolio Selection with Transaction Costs / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic Differential Utility
@@ Property / cites work: Stochastic Differential Utility / rank @@
+Normal rank
@@ Property / cites work @@
+Backward Stochastic Differential Equations in Finance
+Normal rank
@@ Property / cites work @@
+Nonzero sum linear–quadratic stochastic differential games and backward–forward equations
+Normal rank
@@ Property / cites work @@
+Maximum principle for differential games of forward-backward stochastic systems with applications
+Normal rank
@@ Property / cites work @@
+Q5532185
@@ Property / cites work: Q5532185 / rank @@
+Normal rank
@@ Property / cites work @@
+Impulse Control Method and Exchange Rate
@@ Property / cites work: Impulse Control Method and Exchange Rate / rank @@
+Normal rank
@@ Property / cites work @@
+Some applications of impulse control in mathematical finance
+Normal rank
@@ Property / cites work @@
+Risk-sensitive control with HARA utility
@@ Property / cites work: Risk-sensitive control with HARA utility / rank @@
+Normal rank
@@ Property / cites work @@
+Q4457523
@@ Property / cites work: Q4457523 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal Consumption and Portfolio with Both Fixed and Proportional Transaction Costs
+Normal rank
@@ Property / cites work @@
+A differential game with multi-level of hierarchy
@@ Property / cites work: A differential game with multi-level of hierarchy / rank @@
+Normal rank
@@ Property / cites work @@
+Adapted solution of a backward stochastic differential equation
+Normal rank
@@ Property / cites work @@
+A General Stochastic Maximum Principle for Optimal Control Problems
+Normal rank
@@ Property / cites work @@
+Backward stochastic differential equations and applications to optimal control
+Normal rank
@@ Property / cites work @@
+The Maximum Principles for Stochastic Recursive Optimal Control Problems Under Partial Information
+Normal rank
@@ Property / cites work @@
+A Pontryagin's Maximum Principle for Non-Zero Sum Differential Games of BSDEs with Applications
+Normal rank
@@ Property / cites work @@
+A partial information non-zero sum differential game of backward stochastic differential equations with applications
+Normal rank
@@ Property / cites work @@
+Q4266941
@@ Property / cites work: Q4266941 / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic maximum principle for optimal control problem of forward and backward system
+Normal rank
@@ Property / cites work @@
+Cooperative Stochastic Differential Games
@@ Property / cites work: Cooperative Stochastic Differential Games / rank @@
+Normal rank
@@ Property / cites work @@
+A Leader-Follower Stochastic Linear Quadratic Differential Game
+Normal rank