Maximum principle for stochastic differential games with partial information
TTK An, B Øksendal - Journal of Optimization Theory and Applications, 2008 - Springer
In this paper, we first deal with the problem of optimal control for zero-sum stochastic
differential games. We give a necessary and sufficient maximum principle for that problem …
differential games. We give a necessary and sufficient maximum principle for that problem …
[PDF][PDF] A game theoretic approach to martingale measures in incomplete markets
B Øksendal, A Sulem - Preprint series. Pure mathematics http://urn. nb …, 2006 - rocq.inria.fr
We consider a stochastic differential game in a financial jump diffusion market, where the
agent chooses a portfolio which maximizes the utility of her terminal wealth, while the market …
agent chooses a portfolio which maximizes the utility of her terminal wealth, while the market …
A SPDE maximum principle for stochastic differential games under partial information with application to optimal portfolios on fixed income markets
TTK An, F Proske, M Rubtsov - Stochastics An International Journal …, 2010 - Taylor & Francis
In this paper, we aim at establishing a necessary and sufficient maximum principle for partial
information control of general stochastic games, where the controlled process is given by a …
information control of general stochastic games, where the controlled process is given by a …
A MAXIMUM PRINCIPLE FOR STOCHASTIC DIFFERENTIAL GAMES WITH PARTIAL INFORMATION
B Øksendal, ATK Ta - Preprint series. Pure mathematics http://urn. nb. no …, 2007 - duo.uio.no
In this paper we first deal with the problem of optimal control for zero-sum stochastic
differential games. We give a necessary and sufficient maximum principle for that problem …
differential games. We give a necessary and sufficient maximum principle for that problem …
A SPDE Maximum Principle for Stochastic Differential Games under Partial Information with Application to Optimal Portfolios on Fixed Income Markets
F Proske, M Rubtsov, ATK Ta - … series. Pure mathematics http://urn. nb …, 2007 - duo.uio.no
In this paper we aim at establishing a necessary and sufficient maximum principle for partial
information control of general stochastic games, where the controlled process is given by a …
information control of general stochastic games, where the controlled process is given by a …
[引用][C] The stochastic differential game model
В ØKSENDAL, А SULEM - Обозрение прикладной и промышленной …, 2008 - elibrary.ru