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

DOI10.1080/17442500902723542zbMath1197.91050OpenAlexW2070719474MaRDI QIDQ3585320

Mark Rubtsov, Ta Thi Kieu An, Frank Norbert Proske

Publication date: 19 August 2010

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10852/10726

zbMATH Keywords

stochastic differential gamesoptimal portfoliosSPDE control

Mathematics Subject Classification ID

Differential games (aspects of game theory) (91A23) Optimal stochastic control (93E20) Stochastic games, stochastic differential games (91A15) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Portfolio theory (91G10)

Cites Work

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• Sufficient stochastic maximum principle for the optimal control of jump diffusions and applications to finance
• Interest rate models: an infinite dimensional stochastic analysis perspective
• A Maximum Principle for Stochastic Control with Partial Information
• The Maximum Principle for Partially Observed Optimal Control of Stochastic Differential Equations
• On the Necessary Conditions of Optimal Controls for Stochastic Partial Differential Equations
• Malliavin calculus applied to optimal control of stochastic partial differential equations with jumps
• Consistency problems for Heath-Jarrow-Morton interest rate models

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