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

DOI10.1142/S0219198906000874zbMATH Open1184.91197OpenAlexW1964101642MaRDI QIDQ5483382FDOQ5483382

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

Recommendations

• scientific article; zbMATH DE number 1908197
• scientific article
• Zero-sum differential games involving impulse controls
• Stochastic differential games involving impulse controls
• Zero-sum stochastic differential game in finite horizon involving impulse controls

zbMATH Keywords

option pricingdifferential gamesrobust controlimpulse control

Mathematics Subject Classification ID

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

Cited In (4)

• Title not available (Why is that?)
• Title not available (Why is that?)
• Existence and uniqueness of viscosity solutions for QVI associated with impulse control of jump-diffusions
• A zero-sum stochastic differential game with impulses, precommitment, and unrestricted cost functions

This page was built for publication: ON THE SINGULARITIES OF AN IMPULSIVE DIFFERENTIAL GAME ARISING IN MATHEMATICAL FINANCE

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5483382)