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ArticleZero-Sum Stochastic Differential Game in Finite Horizon Involving Impulse Controls

Unknown author2018

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Articlegreen2018

Zero-Sum Stochastic Differential Game in Finite Horizon Involving Impulse Controls

Unknown author

21 citations·0/0 files stored·Applied Mathematics & Optimization

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Stochastic processes and financial applications Nonlinear Partial Differential Equations Game Theory and Applications

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References

1994Interactions of Corporate Financing and Investment Decisions: A Dynamic Framework 1995Optimization of the flow of dividends 2004Valuation of Commodity-Based Swing Options 1993Impulse Control Method and Exchange Rate 1995OPTIMAL PORTFOLIO MANAGEMENT WITH FIXED TRANSACTION COSTS 2008Stochastic Differential Games and Viscosity Solutions of Hamilton–Jacobi–Bellman–Isaacs Equations 2011Weak Dynamic Programming Principle for Viscosity Solutions 2002Optimal Consumption and Portfolio with Both Fixed and Proportional Transaction Costs

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2021Nash equilibria in nonzero-sum differential games with impulse control

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2013Impulse Control of Multidimensional Jump Diffusions in Finite Time Horizonarticle · 15 shared references 2010Impulse Control of Multidimensional Jump Diffusionsarticle · 13 shared references 2009Smooth Fit Principle for Impulse Control of Multidimensional Diffusion Processesarticle · 12 shared references 2016A General Verification Result for Stochastic Impulse Control Problemsarticle · 10 shared references 2017A Zero-Sum Stochastic Differential Game with Impulses, Precommitment, and Unrestricted Cost Functionsarticle · 10 shared references 2008Optimal impulse control for a multidimensional cash management system with generalized cost functionsarticle · 8 shared references

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Year2018

Typearticle

Published2018-09-24

VenueApplied Mathematics & Optimization

ISSN-L0095-4616

Languageen

Citations21

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s00245-018-9529-2

openalex_workW2728213907

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