Stochastic Differential Games with Multiple Modes and Applications to Portfolio Optimization

DOI10.1080/07362990701420126zbMath1119.49030OpenAlexW2074919053MaRDI QIDQ3592750

Arnab K. Basu, Mrinal K. Ghosh

Publication date: 21 September 2007

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362990701420126

zbMATH Keywords

HJI equationsportfolio optimizationvalue functionsviscosity solutionsswitching diffusion processes

Mathematics Subject Classification ID

Differential games and control (49N70) Approximation methods and heuristics in mathematical programming (90C59) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

Related Items (3)

Controlled Switching Diffusions Under Ambiguity: The Average Criterion ⋮ Mean square convergence of the numerical solution of random differential equations ⋮ Viscosity solutions for a system of integro-PDEs and connections to optimal switching and control of jump-diffusion processes

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The regime switching portfolios
• Viscosity solutions of fully nonlinear second-order elliptic partial differential equations
• Stochastic Differential Games with Multiple Modes and a Small Parameter
• On uniqueness and existence of viscosity solutions of fully nonlinear second-order elliptic PDE's
• User’s guide to viscosity solutions of second order partial differential equations
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Stochastic differential games with multiple modes
• Discrete-Time Controlled Markov Processes with Average Cost Criterion: A Survey

This page was built for publication: Stochastic Differential Games with Multiple Modes and Applications to Portfolio Optimization