Optimal control for n-person differential stochastic inclusions

DOI10.1080/07362999908809643zbMath0953.93076OpenAlexW2001781458MaRDI QIDQ4705833

Bui An Ton

Publication date: 5 April 2000

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

Full work available at URL: https://doi.org/10.1080/07362999908809643

zbMATH Keywords

optimal controlexistence theoremmathematical financestochastic differential inclusionopen loop equilibriuminternational investments portfolio

Mathematics Subject Classification ID

Set-valued and variational analysis (49J53) (n)-person games, (n>2) (91A06) Optimal stochastic control (93E20) Financial applications of other theories (91G80) Existence of optimal solutions to problems involving randomness (49J55)

Related Items (2)

Optimal control for N-Person stochastic inclusions. II ⋮ An Inverse Problem for a Nonlinear Stochastic Wave Equation

Cites Work

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• Variational inequalities and the pricing of American options
• On optimal stopping and free boundary problems
• Variational inequalities for international general financial equilibrium modeling and computation
• Mathematical methods of game and economic theory
• Optimal Stopping and the American Put
• Survival and Growth with a Liability: Optimal Portfolio Strategies in Continuous Time
• The Valuation of American Options on Multiple Assets

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