Stochastic differential gamer for multiple decision makers based on utility and mean-variance criterion

DOI10.3969/J.ISSN.1001-8395.2017.05.016zbMATH Open1399.91013MaRDI QIDQ4640941FDOQ4640941

Authors: Peng Yang, Xiaojian Xi, Qi Liu 

Publication date: 25 May 2018

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zbMATH Keywords

investmentstochastic differential gamesmean-variance criterionpower utility

Mathematics Subject Classification ID

Decision theory (91B06) Applications of game theory (91A80) Differential games (aspects of game theory) (91A23) Utility theory (91B16) Stochastic games, stochastic differential games (91A15) Financial applications of other theories (91G80) Optimal stochastic control (93E20)

Cited In (1)

• Utility-based differential game for portfolio in CIR framework

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