The mixed zero-sum stochastic differential game in the model with jumps

DOI10.1007/978-0-8176-8089-3_5zbMATH Open1218.91023OpenAlexW143353594MaRDI QIDQ5198520FDOQ5198520

Authors: Said Hamadène, Hao Wang 

Publication date: 8 August 2011

Published in: Annals of the International Society of Dynamic Games (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-0-8176-8089-3_5

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Mathematics Subject Classification ID

Differential games (aspects of game theory) (91A23) Random measures (60G57) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cites Work

• Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
• Backward Stochastic Differential Equations in Finance
• Backward stochastic differential equations and integral-partial differential equations
• Title not available (Why is that?)
• Backward SDEs with two rcll reflecting barriers without Mokobodski's hypothesis
• Reflected backward stochastic differential equation with jumps and RCLL obstacle
• Reflected backward SDEs with general jumps
• Reflected backward stochastic differential equations with two RCLL barriers
• Applied stochastic control of jump diffusions.
• BSDEs with two reflecting barriers driven by a Brownian and a Poisson noise and related Dynkin game
• Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob-Meyer's type
• BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations.
• Reflected BSDEs and mixed game problem
• Mixed Zero-Sum Stochastic Differential Game and American Game Options
• Title not available (Why is that?)
• Title not available (Why is that?)

Cited In (6)

• Mixed Zero-Sum Stochastic Differential Game and American Game Options
• Mixed zero-sum stochastic differential game and doubly reflected BSDEs with a specific generator
• BSDEs with two RCLL reflecting obstacles driven by Brownian motion and Poisson measure and a related mixed zero-sum game
• Title not available (Why is that?)
• A zero-sum stochastic differential game with impulses, precommitment, and unrestricted cost functions
• Reflected BSDEs and mixed game problem

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