Relationship between maximum principle and dynamic programming for stochastic differential games of jump diffusions

DOI10.1080/00207179.2013.853321zbMath1291.93333OpenAlexW2137659128MaRDI QIDQ5494488

Jing-Tao Shi

Publication date: 28 July 2014

Published in: International Journal of Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207179.2013.853321

zbMATH Keywords

maximum principledynamic programmingstochastic optimal controlbackward stochastic differential equationmodel uncertaintystochastic differential gamesjump diffusionsportfolio optimisation

Mathematics Subject Classification ID

Dynamic programming (90C39) Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45) Portfolio theory (91G10)

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Cites Work

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