Non-zero sum differential games of anticipated forward-backward stochastic differential delayed equations under partial information and application (Q1711108): Difference between revisions

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scientific article

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English	Non-zero sum differential games of anticipated forward-backward stochastic differential delayed equations under partial information and application	scientific article

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instance of

scholarly article

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title

Non-zero sum differential games of anticipated forward-backward stochastic differential delayed equations under partial information and application (English)

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author

Yi Zhuang

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published in

Advances in Difference Equations

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publication date

17 January 2019

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full work available at URL

https://arxiv.org/abs/1702.04883

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zbMATH Keywords

stochastic differential game

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maximum principle

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stochastic differential delayed equation

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linear-quadratic problem

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partial information

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g-expectation

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convex risk measure

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MaRDI profile type

MaRDI publication profile

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cites work

Adapted solution of a backward stochastic differential equation

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Backward stochastic differential equations and applications to optimal control

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Q4357507

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Backward Stochastic Differential Equations in Finance

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Forward-backward stochastic differential equations and their applications

0 references

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

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Hedging options for a large investor and forward-backward SDE's

0 references

Asset pricing with a forward--backward stochastic differential utility

0 references

Q4255599

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Q4379368

0 references

A Delayed Black and Scholes Formula

0 references

Maximum principle for the stochastic optimal control problem with delay and application

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Anticipated backward stochastic differential equations

0 references

Optimal Control of Predictive Mean-Field Equations and Applications to Finance

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Continuous Auctions and Insider Trading

0 references

Optimal control problem of backward stochastic differential delay equation under partial information

0 references

A Nonzero Sum Differential Game of BSDE With Time-Delayed Generator and Applications

0 references

Non-Zero Sum Differential Games of Backward Stochastic Differential Delay Equations Under Partial Information

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A type of general forward-backward stochastic differential equations and applications

0 references

Forward-backward linear quadratic stochastic optimal control problem with delay

0 references

Q5844986

0 references

Non-cooperative games

0 references

Linear−quadratic optimal control and nonzero‐sum differential game of forward−backward stochastic system

0 references

Forward-backward stochastic differential games and stochastic control under model uncertainty

0 references

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

0 references

Maximum Principle for Nonzero-Sum Stochastic Differential Game With Delays

0 references

Mean‐Variance Portfolio Selection under Partial Information

0 references

Maximum principle for optimal control of fully coupled forward-backward stochastic differential delayed equations

0 references

Q4139359

0 references

Q3503154

0 references

A stochastic control problem with delay arising in a pension fund model

0 references

Convex measures of risk and trading constraints

0 references

Risk measures via \(g\)-expectations

0 references

A maximum principle for stochastic differential games with <i>g</i>-expectations and partial information

0 references

Optimality Variational Principle for Controlled Forward-Backward Stochastic Differential Equations with Mixed Initial-Terminal Conditions

0 references

Coherent Measures of Risk

0 references

Le Comportement de l'Homme Rationnel devant le Risque: Critique des Postulats et Axiomes de l'Ecole Americaine

0 references

Risk, Ambiguity, and the Savage Axioms

0 references

Convexity, translation invariance and subadditivity for \(g\)-expectations and related risk measures

0 references

Utility maximization with partial information

0 references

Optimal premium policy of an insurance firm: full and partial information

0 references

The stochastic maximum principle for optimal control problems of delay systems involving continuous and impulse controls

0 references

Optimal control for stochastic delay systems under model uncertainty: a stochastic differential game approach

0 references

Identifiers

zbMATH Open document ID

1444.34100

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DOI

10.1186/s13662-017-1438-1

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:1711108

@@ Property / cites work @@
+Adapted solution of a backward stochastic differential equation
+Normal rank
@@ Property / cites work @@
+Backward stochastic differential equations and applications to optimal control
+Normal rank
@@ Property / cites work @@
+Q4357507
@@ Property / cites work: Q4357507 / rank @@
+Normal rank
@@ Property / cites work @@
+Backward Stochastic Differential Equations in Finance
+Normal rank
@@ Property / cites work @@
+Forward-backward stochastic differential equations and their applications
+Normal rank
@@ Property / cites work @@
+The Maximum Principles for Stochastic Recursive Optimal Control Problems Under Partial Information
+Normal rank
@@ Property / cites work @@
+Hedging options for a large investor and forward-backward SDE's
+Normal rank
@@ Property / cites work @@
+Asset pricing with a forward--backward stochastic differential utility
+Normal rank
@@ Property / cites work @@
+Q4255599
@@ Property / cites work: Q4255599 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4379368
@@ Property / cites work: Q4379368 / rank @@
+Normal rank
@@ Property / cites work @@
+A Delayed Black and Scholes Formula
@@ Property / cites work: A Delayed Black and Scholes Formula / rank @@
+Normal rank
@@ Property / cites work @@
+Maximum principle for the stochastic optimal control problem with delay and application
+Normal rank
@@ Property / cites work @@
+Anticipated backward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Optimal Control of Predictive Mean-Field Equations and Applications to Finance
+Normal rank
@@ Property / cites work @@
+Continuous Auctions and Insider Trading
@@ Property / cites work: Continuous Auctions and Insider Trading / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal control problem of backward stochastic differential delay equation under partial information
+Normal rank
@@ Property / cites work @@
+A Nonzero Sum Differential Game of BSDE With Time-Delayed Generator and Applications
+Normal rank
@@ Property / cites work @@
+Non-Zero Sum Differential Games of Backward Stochastic Differential Delay Equations Under Partial Information
+Normal rank
@@ Property / cites work @@
+A type of general forward-backward stochastic differential equations and applications
+Normal rank
@@ Property / cites work @@
+Forward-backward linear quadratic stochastic optimal control problem with delay
+Normal rank
@@ Property / cites work @@
+Q5844986
@@ Property / cites work: Q5844986 / rank @@
+Normal rank
@@ Property / cites work @@
+Non-cooperative games
@@ Property / cites work: Non-cooperative games / rank @@
+Normal rank
@@ Property / cites work @@
+Linear−quadratic optimal control and nonzero‐sum differential game of forward−backward stochastic system
+Normal rank
@@ Property / cites work @@
+Forward-backward stochastic differential games and stochastic control under model uncertainty
+Normal rank
@@ Property / cites work @@
+Maximum principle for differential games of forward-backward stochastic systems with applications
+Normal rank
@@ Property / cites work @@
+Maximum Principle for Nonzero-Sum Stochastic Differential Game With Delays
+Normal rank
@@ Property / cites work @@
+Mean‐Variance Portfolio Selection under Partial Information
+Normal rank
@@ Property / cites work @@
+Maximum principle for optimal control of fully coupled forward-backward stochastic differential delayed equations
+Normal rank
@@ Property / cites work @@
+Q4139359
@@ Property / cites work: Q4139359 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3503154
@@ Property / cites work: Q3503154 / rank @@
+Normal rank
@@ Property / cites work @@
+A stochastic control problem with delay arising in a pension fund model
+Normal rank
@@ Property / cites work @@
+Convex measures of risk and trading constraints
@@ Property / cites work: Convex measures of risk and trading constraints / rank @@
+Normal rank
@@ Property / cites work @@
+Risk measures via \(g\)-expectations
@@ Property / cites work: Risk measures via \(g\)-expectations / rank @@
+Normal rank
@@ Property / cites work @@
+A maximum principle for stochastic differential games with <i>g</i>-expectations and partial information
+Normal rank
@@ Property / cites work @@
+Optimality Variational Principle for Controlled Forward-Backward Stochastic Differential Equations with Mixed Initial-Terminal Conditions
+Normal rank
@@ Property / cites work @@
+Coherent Measures of Risk
@@ Property / cites work: Coherent Measures of Risk / rank @@
+Normal rank
@@ Property / cites work @@
+Le Comportement de l'Homme Rationnel devant le Risque: Critique des Postulats et Axiomes de l'Ecole Americaine
+Normal rank
@@ Property / cites work @@
+Risk, Ambiguity, and the Savage Axioms
@@ Property / cites work: Risk, Ambiguity, and the Savage Axioms / rank @@
+Normal rank
@@ Property / cites work @@
+Convexity, translation invariance and subadditivity for \(g\)-expectations and related risk measures
+Normal rank
@@ Property / cites work @@
+Utility maximization with partial information
@@ Property / cites work: Utility maximization with partial information / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal premium policy of an insurance firm: full and partial information
+Normal rank
@@ Property / cites work @@
+The stochastic maximum principle for optimal control problems of delay systems involving continuous and impulse controls
+Normal rank
@@ Property / cites work @@
+Optimal control for stochastic delay systems under model uncertainty: a stochastic differential game approach
+Normal rank