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

DOI10.1007/978-0-8176-8089-3_5MaRDI QIDQ5198520zbMATH OpenOpenAlexFDO

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

Mathematics Subject Classification ID

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

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Cites work

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• Backward stochastic differential equations and integral-partial differential equations
• Backward Stochastic Differential Equations in Finance
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• BSDEs with two reflecting barriers driven by a Brownian and a Poisson noise and related Dynkin game
• scientific article; zbMATH DE number 3773426 (Why is no real title available?)
• scientific article; zbMATH DE number 3505964 (Why is no real title available?)
• scientific article; zbMATH DE number 3227528 (Why is no real title available?)
• Mixed Zero-Sum Stochastic Differential Game and American Game Options
• Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob-Meyer's type
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• Reflected backward stochastic differential equation with jumps and RCLL obstacle
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Cited in

(6)

• Reflected BSDEs and mixed game problem
• A zero-sum stochastic differential game with impulses, precommitment, and unrestricted cost functions
• Mixed Zero-Sum Stochastic Differential Game and American Game Options
• scientific article; zbMATH DE number 5649815 (Why is no real title available?)
• 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

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