Stochastic maximum principle for non-zero sum differential games of FBSDEs with impulse controls and its application to finance (Q2514637)
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scientific article; zbMATH DE number 6395502
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| English | Stochastic maximum principle for non-zero sum differential games of FBSDEs with impulse controls and its application to finance |
scientific article; zbMATH DE number 6395502 |
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Stochastic maximum principle for non-zero sum differential games of FBSDEs with impulse controls and its application to finance (English)
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3 February 2015
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non-zero sum stochastic differential game
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forward-backward stochastic differential equations
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impulse controls
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open-loop Nash equilibrium point
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maximum principle
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stochastic recursive utility
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0.8563740849494934
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0.8490599989891052
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0.8487387299537659
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0.8472618460655212
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0.8449457287788391
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