Nonzero-sum stochastic differential game between controller and stopper for jump diffusions
From MaRDI portal
Publication:370194
DOI10.1155/2013/761306zbMath1272.91029OpenAlexW2095174255WikidataQ58917394 ScholiaQ58917394MaRDI QIDQ370194
Yan Wang, Aimin Song, Cheng-De Zheng, En-Min Feng
Publication date: 19 September 2013
Published in: Abstract and Applied Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2013/761306
2-person games (91A05) Differential games (aspects of game theory) (91A23) Stochastic games, stochastic differential games (91A15)
Related Items (1)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Proving regularity of the minimal probability of ruin via a game of stopping and control
- Mean-variance hedging and forward-backward stochastic differential filtering equations
- Martingale approach to stochastic differential games of control and stopping
- On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy
- Differential games of mixed type with control and stopping times
- An exact penalty method for free terminal time optimal control problem with continuous inequality constraints
- The controller-and-stopper game for a linear diffusion.
- Optimal stopping for dynamic convex risk measures
- Optimal control computation for nonlinear systems with state-dependent stopping criteria
- A controller and a stopper game with degenerate variance control
- Mixed Zero-Sum Stochastic Differential Game and American Game Options
- Risk minimizing portfolios and HJBI equations for stochastic differential games
- Existence of Value in Stochastic Differential Games of Mixed Type
- Optimal stopping and stochastic control differential games for jump diffusions
- Applied stochastic control of jump diffusions
This page was built for publication: Nonzero-sum stochastic differential game between controller and stopper for jump diffusions
