Stochastic maximum principle for non-zero sum differential games of FBSDEs with impulse controls and its application to finance (Q2514637)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stochastic maximum principle for non-zero sum differential games of FBSDEs with impulse controls and its application to finance |
scientific article |
Statements
Stochastic maximum principle for non-zero sum differential games of FBSDEs with impulse controls and its application to finance (English)
0 references
3 February 2015
0 references
non-zero sum stochastic differential game
0 references
forward-backward stochastic differential equations
0 references
impulse controls
0 references
open-loop Nash equilibrium point
0 references
maximum principle
0 references
stochastic recursive utility
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
