Relationship between maximum principle and dynamic programming for stochastic differential games of jump diffusions (Q5494488)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 6322280
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| 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
0 references
0 references
0 references
0 references
0 references
0.946571409702301
0 references
0.8999426960945129
0 references
0.8663104772567749
0 references
0.8612021207809448
0 references
