Stochastic differential portfolio games with Duffie‐Kan interest rate

DOI10.1108/03684921011063565zbMath1217.91176OpenAlexW1979190349MaRDI QIDQ3019246

Shu-ping Wan

Publication date: 28 July 2011

Published in: Kybernetes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1108/03684921011063565

zbMATH Keywords

stochastic modelingstochastic processesinterest ratesstochastic gamesfinancial marketsportfolio theorycybernetics

Mathematics Subject Classification ID

Differential games (aspects of game theory) (91A23) Stochastic games, stochastic differential games (91A15) Portfolio theory (91G10)

Cites Work

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• A YIELD‐FACTOR MODEL OF INTEREST RATES
• Stochastic differential portfolio games

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