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

DOI10.1007/978-1-4614-5906-4_22zbMath1270.91013OpenAlexW25496493MaRDI QIDQ2841796

An Ta Thi Kieu, Yeliz Yolcu-Okur, Bernt Øksendal

Publication date: 30 July 2013

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: http://urn.nb.no/URN:NBN:no-23465

zbMATH Keywords

stochastic controlMalliavin calculusstochastic differential gamepartial informationjump diffusionoptimal worst-case scenario portfolio

Mathematics Subject Classification ID

Differential games (aspects of game theory) (91A23) Stochastic games, stochastic differential games (91A15) Stochastic calculus of variations and the Malliavin calculus (60H07) Portfolio theory (91G10)

Related Items (3)

Nonzero sum differential game of mean-field BSDEs with jumps under partial information ⋮ Stochastic differential games in insider markets via Malliavin calculus ⋮ Mean-field type forward-backward doubly stochastic differential equations and related stochastic differential games

This page was built for publication: A Malliavin Calculus Approach to General Stochastic Differential Games with Partial Information