Maximum principle for stochastic differential games with partial information
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Publication:1014037
DOI10.1007/s10957-008-9398-yzbMath1159.91321OpenAlexW1967591506MaRDI QIDQ1014037
Ta Thi Kieu An, Bernt Øksendal
Publication date: 24 April 2009
Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10852/10511
stochastic controlstochastic differential gamesjump diffusionssufficient maximum principlenecessary maximum principle
Differential games (aspects of game theory) (91A23) Optimal stochastic control (93E20) Stochastic games, stochastic differential games (91A15)
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Cites Work
- Sufficient stochastic maximum principle for the optimal control of jump diffusions and applications to finance
- A Maximum Principle for Stochastic Control with Partial Information
- Maximum principle and dynamic programming approaches of the optimal control of partially observed diffusions
- The Maximum Principle for Partially Observed Optimal Control of Stochastic Differential Equations
- Financial Modelling with Jump Processes
- Applied stochastic control of jump diffusions
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