Risk minimizing portfolios and HJBI equations for stochastic differential games

DOI10.1080/17442500701655408zbMath1145.93054OpenAlexW2009420788MaRDI QIDQ3518568

Sure Mataramvura, Bernt Øksendal

Publication date: 8 August 2008

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10852/10595

zbMATH Keywords

stochastic differential gamesjump diffusion marketconvex measure of riskmonetary utility functionHJBI equationoptimal max-min control

Mathematics Subject Classification ID

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