Optimal stopping and stochastic control differential games for jump diffusions
Publication:5411896
DOI10.1080/17442508.2011.652116zbMath1286.93200OpenAlexW2092199932MaRDI QIDQ5411896
Sven Haadem, Isabelle Turpin, Fouzia Baghery, Bernt Øksendal
Publication date: 25 April 2014
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10852/40225
optimal stoppingstochastic controlstochastic differential gamesjump diffusionsoptimal resource extraction in a worst-case scenariorisk minimizing portfolios
Processes with independent increments; Lévy processes (60G51) Noncooperative games (91A10) Differential games (aspects of game theory) (91A23) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic integrals (60H05) Probabilistic games; gambling (91A60)
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