Maximum principle for differential games of forward-backward stochastic systems with applications
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Publication:640986
DOI10.1016/J.JMAA.2011.08.009zbMATH Open1233.91041OpenAlexW2040217801MaRDI QIDQ640986FDOQ640986
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Cited In (24)
- A partially observed non-zero sum differential game of forward-backward stochastic differential equations and its application in finance
- Maximum principle for stochastic differential games with partial information
- Maximum principle for discrete-time stochastic optimal control problem and stochastic game
- Stochastic maximum principle for non-zero sum differential games of FBSDEs with impulse controls and its application to finance
- An Application of Pontryagin's Maximum Principle in a Linear Quadratic Dfferential Game
- Certainty equivalence principle in stochastic differential games: an inverse problem approach
- Linear-quadratic partially observed forward-backward stochastic differential games and its application in finance
- A note on stochastic minimax principle
- Forward-backward stochastic differential equation games with delay and noisy memory
- Forward-backward stochastic differential games for optimal investment and dividend problem of an insurer under model uncertainty
- Maximum principle for general partial information nonzero sum stochastic differential games and applications
- Maximum principle via Malliavin calculus for regular-singular stochastic differential games
- A variational formula for stochastic controls and some applications
- A maximum principle for stochastic differential games with \(g\)-expectations and partial information
- The dynamic programming method of stochastic differential game for functional forward-backward stochastic system
- A stochastic maximum principle for a stochastic differential game of a mean-field type
- Leader-follower stochastic differential game with asymmetric information and applications
- Recursive stochastic linear-quadratic optimal control and nonzero-sum differential game problems with random jumps
- Stochastic Nash games for Markov jump linear systems with state- and control-dependent noise
- A maximum principle approach for stochastic \(H_2/H_\infty\) control
- A maximum principle for Markov regime-switching forward-backward stochastic differential games and applications
- Non-zero sum differential games of anticipated forward-backward stochastic differential delayed equations under partial information and application
- A variational formula for non-zero sum stochastic differential game of fully coupled forward-backward stochastic systems with jumps and some applications
- A variational formula for nonzero-sum stochastic differential games of FBSDEs and applications
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