Hedging and Maxmin

DOI10.1137/0320003zbMath0474.90084OpenAlexW2046442053MaRDI QIDQ3929417

Elliot Winston

Publication date: 1982

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/0320003

zbMATH Keywords

algorithmhedgingmaxmincontinuous gamemilitary planningcalculation of optimal strategyfictitious sequence of alternating plays

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) 2-person games (91A05) Existence of solutions for minimax problems (49J35)

Related Items (7)

Conditioned super-Brownian motion ⋮ Conservative delta hedging. ⋮ Fokker-Planck equation on a manifold. Effective diffusion and spectrum ⋮ Parameter estimation for a special class of Markov chains ⋮ Statistical causality, extremal measures and weak solutions of stochastic differential equations with driving semimartingales ⋮ Competitive prices for a stochastic input-output model with infinite time horizon ⋮ Nonparametric estimation of intensities of nonhomogeneous Poisson processes

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