ON THE SINGULARITIES OF AN IMPULSIVE DIFFERENTIAL GAME ARISING IN MATHEMATICAL FINANCE

DOI10.1142/S0219198906000874MaRDI QIDQ5483382zbMATH OpenOpenAlexFDO

Authors Pierre Bernhard

Publication date 14 August 2006

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

Full work available at URL https://doi.org/10.1142/s0219198906000874

zbMATH Keywords

differential gamesimpulse controloption pricingrobust control

Mathematics Subject Classification ID

Differential games (aspects of game theory) (91A23) Applications of game theory (91A80) Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80)

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