Forward-backward stochastic differential games and stochastic control under model uncertainty

DOI10.1007/s10957-012-0166-7zbMath1290.49076OpenAlexW2037172480MaRDI QIDQ2247914

Agnès Sulem, Bernt Øksendal

Publication date: 30 June 2014

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10957-012-0166-7

zbMATH Keywords

maximum principlerobust controlmodel uncertaintyoptimal portfolioviabilitystochastic differential gamesoptimal consumptionjump diffusionsforward-backward SDEs

Mathematics Subject Classification ID

Differential games and control (49N70) Differential games (aspects of game theory) (91A23) Optimal stochastic control (93E20) Financial applications of other theories (91G80) Stochastic games, stochastic differential games (91A15) Optimality conditions for problems involving randomness (49K45) Portfolio theory (91G10)

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