Stochastic maximum principle for non-zero sum differential games of FBSDEs with impulse controls and its application to finance

DOI10.3934/jimo.2015.11.27zbMath1307.93448OpenAlexW2319077175MaRDI QIDQ2514637

Zhen Wu, Dejian Chang

Publication date: 3 February 2015

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jimo.2015.11.27

zbMATH Keywords

maximum principleimpulse controlsforward-backward stochastic differential equationsnon-zero sum stochastic differential gameopen-loop Nash equilibrium pointstochastic recursive utility

Mathematics Subject Classification ID

Differential games (aspects of game theory) (91A23) Optimal stochastic control (93E20) Financial applications of other theories (91G80)

Related Items (6)

Hybrid optimal impulse control ⋮ Minimizing almost smooth control variation in nonlinear optimal control problems ⋮ Nonzero-Sum Stochastic Differential Games with Impulse Controls: A Verification Theorem with Applications ⋮ Risk‐sensitive stochastic maximum principle for forward‐backward systems involving impulse controls ⋮ Nash equilibria in nonzero-sum differential games with impulse control ⋮ Nonzero-sum impulse games with regime switching

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