Maximum Principle for General Partial Information Nonzero Sum Stochastic Differential Games and Applications

Dynamic Games and Applications ◽

10.1007/s13235-021-00402-2 ◽

2021 ◽

Author(s):

Tianyang Nie ◽

Falei Wang ◽

Zhiyong Yu

Keyword(s):

Maximum Principle ◽

Differential Games ◽

Partial Information ◽

Stochastic Differential Games

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A SPDE maximum principle for stochastic differential games under partial information with application to optimal portfolios on fixed income markets

Stochastics ◽

10.1080/17442500902723542 ◽

2010 ◽

Vol 82 (1) ◽

pp. 3-23

Author(s):

Ta Thi Kieu An ◽

Frank Proske ◽

Mark Rubtsov

Keyword(s):

Maximum Principle ◽

Differential Games ◽

Partial Information ◽

Stochastic Differential Games ◽

Fixed Income ◽

Optimal Portfolios ◽

Fixed Income Markets

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A maximum principle for stochastic differential games with g-expectations and partial information

Stochastics ◽

10.1080/17442508.2010.532875 ◽

2011 ◽

Vol 84 (2-3) ◽

pp. 137-155 ◽

Author(s):

Ta Thi Kieu An ◽

Bernt Øksendal

Keyword(s):

Maximum Principle ◽

Differential Games ◽

Partial Information ◽

Stochastic Differential Games

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Maximum Principle for Stochastic Differential Games with Partial Information

Journal of Optimization Theory and Applications ◽

10.1007/s10957-008-9398-y ◽

2008 ◽

Vol 139 (3) ◽

pp. 463-483 ◽

Author(s):

T. T. K. An ◽

B. Øksendal

Keyword(s):

Maximum Principle ◽

Differential Games ◽

Partial Information ◽

Stochastic Differential Games

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A maximum principle for Markov regime-switching forward–backward stochastic differential games and applications

Mathematical Methods of Operations Research ◽

10.1007/s00186-017-0574-4 ◽

2017 ◽

Vol 85 (3) ◽

pp. 349-388 ◽

Author(s):

Olivier Menoukeu-Pamen ◽

Romuald Hervé Momeya

Keyword(s):

Maximum Principle ◽

Differential Games ◽

Regime Switching ◽

Stochastic Differential Games ◽

Markov Regime Switching

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Relationship between maximum principle and dynamic programming for stochastic differential games of jump diffusions

International Journal of Control ◽

10.1080/00207179.2013.853321 ◽

2013 ◽

Vol 87 (4) ◽

pp. 693-703 ◽

Author(s):

Jingtao Shi

Keyword(s):

Dynamic Programming ◽

Maximum Principle ◽

Differential Games ◽

Stochastic Differential Games ◽

Jump Diffusions

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Maximum principle via Malliavin calculus for regular-singular stochastic differential games

Optimization Letters ◽

10.1007/s11590-017-1120-2 ◽

2017 ◽

Vol 12 (6) ◽

pp. 1301-1314

Author(s):

Yan Wang ◽

Aimin Song ◽

Lei Wang ◽

Jie Sun

Keyword(s):

Maximum Principle ◽

Differential Games ◽

Malliavin Calculus ◽

Stochastic Differential Games

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A Malliavin Calculus Approach to General Stochastic Differential Games with Partial Information

Malliavin Calculus and Stochastic Analysis - Springer Proceedings in Mathematics & Statistics ◽

10.1007/978-1-4614-5906-4_22 ◽

2013 ◽

pp. 489-510 ◽

Author(s):

An Ta Thi Kieu ◽

Bernt Øksendal ◽

Yeliz Yolcu Okur

Keyword(s):

Differential Games ◽

Malliavin Calculus ◽

Partial Information ◽

Stochastic Differential Games ◽

General Stochastic

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Relationship between Maximum Principle and Dynamic Programming in Stochastic Differential Games and Applications

American Journal of Operations Research ◽

10.4236/ajor.2013.36043 ◽

2013 ◽

Vol 03 (06) ◽

pp. 445-453 ◽

Author(s):

Jingtao Shi

Keyword(s):

Dynamic Programming ◽

Maximum Principle ◽

Differential Games ◽

Stochastic Differential Games

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Near Optimal Strategy for Nonlinear Stochastic Differential Games Based on the Technique of Statistical Linearization

ACTA AUTOMATICA SINICA ◽

10.3724/sp.j.1004.2013.00390 ◽

2014 ◽

Vol 39 (4) ◽

pp. 390-399

Author(s):

Ping ZHANG ◽

Yang-Wang FANG ◽

Xiao-Bin HUI ◽

Xin-Ai LIU ◽

Liang LI

Keyword(s):

Differential Games ◽

Optimal Strategy ◽

Stochastic Differential Games ◽

Statistical Linearization

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Mean-field type forward-backward doubly stochastic differential equations and related stochastic differential games

Frontiers of Mathematics in China ◽

10.1007/s11464-020-0889-y ◽

2020 ◽

Vol 15 (6) ◽

pp. 1307-1326

Author(s):

Qingfeng Zhu ◽

Lijiao Su ◽

Fuguo Liu ◽

Yufeng Shi ◽

Yong’ao Shen ◽

...

Keyword(s):

Differential Equations ◽

Stochastic Differential Equations ◽

Differential Games ◽

Stochastic Differential Games ◽

Doubly Stochastic

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