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

DOI10.1142/S0219198904000101MaRDI QIDQ5315565zbMATH OpenFDO

Authors Patrick Saint-Pierre

Publication date 8 September 2005

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

Mathematics Subject Classification ID

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

Recommendations

• Dynamic management of portfolios with transaction costs under tychastic uncertainty
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Cites work

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

Cited in

(9)

• An anti-diffusive scheme for viability problems
• A tychastic approach to guaranteed pricing and management of portfolios under transactions constraints
• Developments in differential game theory and numerical methods: Economic and management applications
• Dynamic management of portfolios with transaction costs under tychastic uncertainty
• Determining the viable unbounded polyhedron under linear control systems
• Hybrid Systems: Computation and Control
• Fault detection and isolation using viability theory and interval observers
• Constructing and exploring wells of energy landscapes
• 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

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