A maximum principle approach to risk indifference pricing with partial information

DOI10.1155/2008/821243zbMath1158.91350WikidataQ58645938 ScholiaQ58645938MaRDI QIDQ1009400

Bernt Øksendal, Ta Thi Kieu An, Frank Norbert Proske

Publication date: 1 April 2009

Published in: Journal of Applied Mathematics and Stochastic Analysis (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/55250

Mathematics Subject Classification ID

91A23: Differential games (aspects of game theory)

91B24: Microeconomic theory (price theory and economic markets)

91B44: Economics of information

60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)