Relationship between maximum principle and dynamic programming for stochastic differential games of jump diffusions (Q5494488)
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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 |
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Relationship between maximum principle and dynamic programming for stochastic differential games of jump diffusions (English)
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28 July 2014
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stochastic differential games
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stochastic optimal control
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backward stochastic differential equation
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jump diffusions
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maximum principle
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dynamic programming
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portfolio optimisation
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model uncertainty
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