Stochastic differential games and optimization problems with controlled point process arrivals

DOI10.1007/S10957-025-02690-9MaRDI QIDQ6952251zbMATH OpenFDO

Authors Birger Wernerfelt

Publication date 28 July 2025

Published in Journal of Optimization Theory and Applications (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/S10957-025-02690-9

zbMATH Keywords

differential games with jump diffusionspoint processes with evolving intensitiesstochastic control

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Jump processes on discrete state spaces (60J74) Stochastic games, stochastic differential games (91A15) Optimal stochastic control (93E20)

Cites work

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