Maximum principle for stochastic differential games with partial information
From MaRDI portal
Publication:1014037
DOI10.1007/S10957-008-9398-YzbMATH Open1159.91321OpenAlexW1967591506MaRDI QIDQ1014037FDOQ1014037
Authors: Ta Thi Kieu An, B. 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
Recommendations
- Maximum principle for mean-field zero-sum stochastic differential game with partial information and its application to finance
- A maximum principle for stochastic differential games with \(g\)-expectations and partial information
- Maximum principle for general partial information nonzero sum stochastic differential games and applications
- A SPDE maximum principle for stochastic differential games under partial information with application to optimal portfolios on fixed income markets
- Maximum principle for differential games of forward-backward stochastic systems with applications
jump diffusionsstochastic controlstochastic differential gamessufficient maximum principlenecessary maximum principle
Differential games (aspects of game theory) (91A23) Stochastic games, stochastic differential games (91A15) Optimal stochastic control (93E20)
Cites Work
- Financial Modelling with Jump Processes
- 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
- Applied stochastic control of jump diffusions
- Sufficient stochastic maximum principle for the optimal control of jump diffusions and applications to finance
Cited In (28)
- A Malliavin calculus approach to general stochastic differential games with partial information
- A partially observed non-zero sum differential game of forward-backward stochastic differential equations and its application in finance
- Partial information stochastic differential games for backward stochastic systems driven by Lévy processes
- The maximum principle for a jump-diffusion mean-field model and its application to the mean-variance problem
- Robust stochastic control and equivalent martingale measures
- Maximum principle for discrete-time stochastic optimal control problem and stochastic game
- Stochastic maximum principle for non-zero sum differential games of FBSDEs with impulse controls and its application to finance
- Necessary and sufficient optimality conditions for regular-singular stochastic differential games with asymmetric information
- Maximum principle for mean-field zero-sum stochastic differential game with partial information and its application to finance
- Stochastic maximum principle for partial information optimal control problem of forward-backward systems involving classical and impulse controls
- A note on stochastic minimax principle
- A maximum principle approach to risk indifference pricing with partial information
- Maximum principle for general partial information nonzero sum stochastic differential games and applications
- Maximum principle via Malliavin calculus for regular-singular stochastic differential games
- Optimal asset allocation for a DC plan with partial information under inflation and mortality risks
- A maximum principle for stochastic differential games with \(g\)-expectations and partial information
- Optimal control for uncertain random singular systems with multiple time-delays
- Relationship between maximum principle and dynamic programming for stochastic differential games of jump diffusions
- Leader-follower stochastic differential game with asymmetric information and applications
- Maximum principle for differential games of forward-backward stochastic systems with applications
- A partial information non-zero sum differential game of backward stochastic differential equations with applications
- Mean-field type forward-backward doubly stochastic differential equations and related stochastic differential games
- A maximum principle approach for stochastic \(H_2/H_\infty\) control
- Optimal stopping and stochastic control differential games for jump diffusions
- A SPDE maximum principle for stochastic differential games under partial information with application to optimal portfolios on fixed income markets
- A partially observed nonzero-sum stochastic differential game with delays and its application to finance
- A robust Markowitz mean-variance portfolio selection model with an intractable claim
- Nonzero sum differential game of mean-field BSDEs with jumps under partial information
This page was built for publication: Maximum principle for stochastic differential games with partial information
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1014037)
