Relationship between maximum principle and dynamic programming for stochastic differential games of jump diffusions
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Publication:5494488
DOI10.1080/00207179.2013.853321zbMath1291.93333OpenAlexW2137659128MaRDI QIDQ5494488
Publication date: 28 July 2014
Published in: International Journal of Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00207179.2013.853321
maximum principledynamic programmingstochastic optimal controlbackward stochastic differential equationmodel uncertaintystochastic differential gamesjump diffusionsportfolio optimisation
Dynamic programming (90C39) Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45) Portfolio theory (91G10)
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Cites Work
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