Maximum Principle for Stochastic Differential Games with Partial Information

被引：0

作者：

T. T. K. An

B. Øksendal

机构：

[1] University of Oslo,Centre of Mathematics for Applications (CMA), Department of Mathematics

[2] Norwegian School of Economics and Business Admistration,undefined

来源：

Journal of Optimization Theory and Applications | 2008年 / 139卷

关键词：

Jump diffusions; Stochastic control; Stochastic differential games; Sufficient maximum principle; Necessary maximum principle;

D O I：

暂无

中图分类号：

学科分类号：

摘要：

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 with partial information. Then, we use the result to solve a problem in finance. Finally, we extend our approach to general stochastic games (nonzero-sum), and obtain an equilibrium point of such game.

引用

页码：463 / 483

页数：20

共 50 条

[1] Maximum Principle for Stochastic Differential Games with Partial Information
An, T. T. K.
Oksendal, B.
[J]. JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS, 2008, 139 (03) : 463 - 483
[2] A maximum principle for stochastic differential games with g-expectations and partial information
An, Ta Thi Kieu
Oksendal, Bernt
[J]. STOCHASTICS-AN INTERNATIONAL JOURNAL OF PROBABILITY AND STOCHASTIC PROCESSES, 2012, 84 (2-3) : 137 - 155
[3] Maximum Principle for General Partial Information Nonzero Sum Stochastic Differential Games and Applications
Tianyang Nie
Falei Wang
Zhiyong Yu
[J]. Dynamic Games and Applications, 2022, 12 : 608 - 631
[4] Maximum Principle for General Partial Information Nonzero Sum Stochastic Differential Games and Applications
Nie, Tianyang
Wang, Falei
Yu, Zhiyong
[J]. DYNAMIC GAMES AND APPLICATIONS, 2022, 12 (02) : 608 - 631
[5] A maximum principle for stochastic control with partial information
Baghery, Fouzia
Oksendal, Bernt
[J]. STOCHASTIC ANALYSIS AND APPLICATIONS, 2007, 25 (03) : 705 - 717
[6] A SPDE maximum principle for stochastic differential games under partial information with application to optimal portfolios on fixed income markets
An, Ta Thi Kieu
Proske, Frank
Rubtsov, Mark
[J]. STOCHASTICS-AN INTERNATIONAL JOURNAL OF PROBABILITY AND STOCHASTIC PROCESSES, 2010, 82 (01) : 3 - 23
[7] THE MAXIMUM PRINCIPLE FOR GLOBAL SOLUTIONS OF STOCHASTIC STACKELBERG DIFFERENTIAL GAMES
Bensoussan, Alain
Chen, Shaokuan
Sethi, Suresh P.
[J]. SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 2015, 53 (04) : 1956 - 1981
[8] Maximum Principle for Optimal Control of Stochastic Partial Differential Equations
Al-Hussein, AbdulRahman
[J]. BULLETIN OF THE MALAYSIAN MATHEMATICAL SCIENCES SOCIETY, 2014, 37 (03) : 797 - 811
[9] PENG'S MAXIMUM PRINCIPLE FOR STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS
Stannat, Wilhelm
Wessels, Lukas
[J]. SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 2021, 59 (05) : 3552 - 3573
[10] The Stampacchia maximum principle for stochastic partial differential equations and applications
Chekroun, Mickael D.
Park, Eunhee
Temam, Roger
[J]. JOURNAL OF DIFFERENTIAL EQUATIONS, 2016, 260 (03) : 2926 - 2972

← 1 2 3 4 5 →