Risk-sensitive zero-sum stochastic differential game for jump-diffusions
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Publication:2059477
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Cites work
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- scientific article; zbMATH DE number 2034522 (Why is no real title available?)
- scientific article; zbMATH DE number 195091 (Why is no real title available?)
- scientific article; zbMATH DE number 3895476 (Why is no real title available?)
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- Zero-sum risk-sensitive stochastic differential games with reflecting diffusions in the orthant
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Cited in
(17)- Stochastic differential portfolio games for an insurer in a jump-diffusion risk process
- Zero-sum games for pure jump processes with risk-sensitive discounted cost criteria
- Finite-time \(H_2 / H_\infty\) control for linear Itô stochastic Markovian jump systems with Brownian motion and Poisson jumps
- Risk-sensitive nonzero-sum stochastic differential game with unbounded coefficients
- Zero-sum stochastic differential games with risk-sensitive cost
- Risk minimizing portfolios and HJBI equations for stochastic differential games
- Risk-sensitive stochastic differential games with reflecting diffusions
- Risk-Sensitive Zero-Sum Differential Games
- Optimal stopping and stochastic control differential games for jump diffusions
- One kind of linear-quadratic zero-sum stochastic differential game with jumps
- Nonzero-sum risk-sensitive stochastic differential games: a multi-parameter eigenvalue problem approach
- Saddle-point solution to zero-sumgame for uncertain noncausal systems based on optimistic value
- Existence of open-loop equilibria in differential games with impulsive effects suffered by logic choice
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- Uncertain differential game with risk-averse players
- A generalized policy-iteration algorithm for linear discrete-time two-player zero-sum games with convergence guarantees
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