Stochastic differential portfolio games
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Publication:4503215
DOI10.1239/jap/1014842273zbMath0984.91017MaRDI QIDQ4503215
Publication date: 20 November 2000
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1239/jap/1014842273
market price of risk; stochastic dynamic game; stochastic zero-sum differential game; games with discounting; probability maximizing game
91A23: Differential games (aspects of game theory)
93E20: Optimal stochastic control
60G40: Stopping times; optimal stopping problems; gambling theory
60J60: Diffusion processes
91A15: Stochastic games, stochastic differential games
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