Relationship between maximum principle and dynamic programming for stochastic differential games of jump diffusions (Q5494488)
From MaRDI portal
scientific article; zbMATH DE number 6322280
Language | Label | Description | Also known as |
---|---|---|---|
English | Relationship between maximum principle and dynamic programming for stochastic differential games of jump diffusions |
scientific article; zbMATH DE number 6322280 |
Statements
Relationship between maximum principle and dynamic programming for stochastic differential games of jump diffusions (English)
0 references
28 July 2014
0 references
stochastic differential games
0 references
stochastic optimal control
0 references
backward stochastic differential equation
0 references
jump diffusions
0 references
maximum principle
0 references
dynamic programming
0 references
portfolio optimisation
0 references
model uncertainty
0 references