VIABLE CAPTURE BASIN FOR STUDYING DIFFERENTIAL AND HYBRID GAMES: APPLICATION TO FINANCE

DOI10.1142/S0219198904000101zbMATH Open1102.91018MaRDI QIDQ5315565FDOQ5315565

Authors: Patrick Saint-Pierre 

Publication date: 8 September 2005

Published in: International Game Theory Review (Search for Journal in Brave)

Recommendations

• Dynamic management of portfolios with transaction costs under tychastic uncertainty
• A tychastic approach to guaranteed pricing and management of portfolios under transactions constraints
• Differential Games Through Viability Theory: Old and Recent Results
• Viability Theory
• Hybrid Systems: Computation and Control

Mathematics Subject Classification ID

Differential games and control (49N70) Differential games (aspects of game theory) (91A23) Ordinary differential inclusions (34A60)

Cites Work

• Pursuit differential games with state constraints
• Approximation of the viability kernel

Cited In (9)

• A tychastic approach to guaranteed pricing and management of portfolios under transactions constraints
• Constructing and exploring wells of energy landscapes
• Hybrid Systems: Computation and Control
• Dynamic management of portfolios with transaction costs under tychastic uncertainty
• Developments in differential game theory and numerical methods: Economic and management applications
• When can Itô be not optimal to adopt a new technology? a viability theory solution to a two-stage optimal control problem of new technology adoption
• Fault detection and isolation using viability theory and interval observers
• An anti-diffusive scheme for viability problems
• Determining the viable unbounded polyhedron under linear control systems

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