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Maximum Principle for Stochastic Differential Games with Partial Information · Study

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ArticleMaximum Principle for Stochastic Differential Games with Partial Information

Ta Thi Kieu An2008

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Articlegreen2008

Maximum Principle for Stochastic Differential Games with Partial Information

Ta Thi Kieu An · Bernt Øksendal

58 citations·0/0 files stored·Journal of Optimization Theory and Applications

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Stochastic processes and financial applications Optimization and Variational Analysis Game Theory and Applications

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References

2003Financial Modelling with Jump Processes 2005Applied Stochastic Control of Jump Diffusions 2007Applied Stochastic Control of Jump Diffusions 1983Maximum principle and dynamic programming approaches of the optimal control of partially observed diffusions 1998The Maximum Principle for Partially Observed Optimal Control of Stochastic Differential Equations 2004Sufficient Stochastic Maximum Principle for the Optimal Control of Jump Diffusions and Applications to Finance 2007A Maximum Principle for Stochastic Control with Partial Information

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2010Maximum Principles for a Class of Partial Information Risk-Sensitive Optimal Controls 2021Maximum principle for discrete-time stochastic optimal control problem and stochastic game 2011A maximum principle for stochastic differential games with g-expectations and partial information

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Year2008

Typearticle

Published2008-04-22

VenueJournal of Optimization Theory and Applications

ISSN-L0022-3239

Languageen

Citations58

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s10957-008-9398-y

openalex_workW1967591506

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