Stochastic differential games for optimal investment problems in a Markov regime-switching jump-diffusion market

DOI10.1007/s10479-020-03768-5zbMath1492.91339OpenAlexW3059069256MaRDI QIDQ2673823

Gerhard-Wilhelm Weber, Emel Savku

Publication date: 13 June 2022

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-020-03768-5

zbMATH Keywords

controlgame theorydynamic programmingstochastic processesbehavioral finance

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Applications of game theory (91A80) Optimal stochastic control (93E20) Stochastic games, stochastic differential games (91A15) Portfolio theory (91G10)

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