Stochastic maximum principle for non-zero sum differential games of FBSDEs with impulse controls and its application to finance
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Publication:2514637
DOI10.3934/jimo.2015.11.27zbMath1307.93448MaRDI QIDQ2514637
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
maximum principle; impulse controls; forward-backward stochastic differential equations; non-zero sum stochastic differential game; open-loop Nash equilibrium point; stochastic recursive utility
91A23: Differential games (aspects of game theory)
93E20: Optimal stochastic control
91G80: Financial applications of other theories
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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, Nonzero-sum impulse games with regime switching, Hybrid optimal impulse control, Minimizing almost smooth control variation in nonlinear optimal control problems, Nash equilibria in nonzero-sum differential games with impulse control
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