A maximum principle approach to risk indifference pricing with partial information

DOI10.1155/2008/821243zbMath1158.91350OpenAlexW2082383924WikidataQ58645938 ScholiaQ58645938MaRDI QIDQ1009400

Bernt Øksendal, Ta Thi Kieu An, Frank Norbert Proske

Publication date: 1 April 2009

Published in: Journal of Applied Mathematics and Stochastic Analysis (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/55250

Mathematics Subject Classification ID

Differential games (aspects of game theory) (91A23) Microeconomic theory (price theory and economic markets) (91B24) Economics of information (91B44) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Related Items (1)

Stackelberg stochastic differential game with asymmetric noisy observations

Cites Work

• Risk measure pricing and hedging in incomplete markets
• Maximum principle for stochastic differential games with partial information
• Minimum principle sufficiency
• Convex measures of risk and trading constraints
• DYNAMIC INDIFFERENCE VALUATION VIA CONVEX RISK MEASURES
• Applied stochastic control of jump diffusions

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