Risk minimizing portfolios and HJBI equations for stochastic differential games

DOI10.1080/17442500701655408zbMath1145.93054OpenAlexW2009420788MaRDI QIDQ3518568

Sure Mataramvura, Bernt Øksendal

Publication date: 8 August 2008

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10852/10595

zbMATH Keywords

stochastic differential gamesjump diffusion marketconvex measure of riskmonetary utility functionHJBI equationoptimal max-min control

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming in optimal control and differential games (49L20) Differential games (aspects of game theory) (91A23) Optimal stochastic control (93E20) Financial applications of other theories (91G80) Stochastic games, stochastic differential games (91A15)

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