Hedging and Maxmin

DOI10.1137/0320003MaRDI QIDQ3929417zbMATH OpenOpenAlexFDO

Authors Elliot Winston

Publication date 1982

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/0320003

zbMATH Keywords

algorithmcalculation of optimal strategycontinuous gamefictitious sequence of alternating playshedgingmaxminmilitary planning

Mathematics Subject Classification ID

Existence of solutions for minimax problems (49J35) Applications of mathematical programming (90C90) 2-person games (91A05)

Cited in

(7)

• Conditioned super-Brownian motion
• Parameter estimation for a special class of Markov chains
• Conservative delta hedging.
• Fokker-Planck equation on a manifold. Effective diffusion and spectrum
• Competitive prices for a stochastic input-output model with infinite time horizon
• Nonparametric estimation of intensities of nonhomogeneous Poisson processes
• Statistical causality, extremal measures and weak solutions of stochastic differential equations with driving semimartingales

This page was built for publication: Hedging and Maxmin

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3929417)