Stochastic differential portfolio games
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Publication:4503215
DOI10.1239/jap/1014842273zbMath0984.91017OpenAlexW3123347787MaRDI QIDQ4503215
Publication date: 20 November 2000
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1239/jap/1014842273
market price of riskstochastic dynamic gamestochastic zero-sum differential gamegames with discountingprobability maximizing game
Differential games (aspects of game theory) (91A23) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Stochastic games, stochastic differential games (91A15)
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