论文信息 - Maximum Principle for Stochastic Differential Games with Partial Information

Maximum Principle for Stochastic Differential Games with Partial Information

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.

Bernt Øksendal | B. Øksendal | T. An | Ta Thi Kieu An

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