Maximum principle for stochastic differential games with partial information
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Publication:1014037
DOI10.1007/s10957-008-9398-yzbMath1159.91321MaRDI QIDQ1014037
Bernt Øksendal, Ta Thi Kieu An
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 control; stochastic differential games; jump diffusions; sufficient maximum principle; necessary maximum principle
91A23: Differential games (aspects of game theory)
93E20: Optimal stochastic control
91A15: Stochastic games, stochastic differential games