Maximum Principle for Stochastic Differential Games with Partial Information

T. T. K. An () and B. Øksendal ()
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T. T. K. An: University of Oslo
B. Øksendal: University of Oslo

Journal of Optimization Theory and Applications, 2008, vol. 139, issue 3, No 1, 463-483

Abstract: Abstract In this paper, we first deal with the problem of optimal control for zero-sum stochastic differential games. We give a necessary and sufficient maximum principle for that problem with partial information. Then, we use the result to solve a problem in finance. Finally, we extend our approach to general stochastic games (nonzero-sum), and obtain an equilibrium point of such game.

Keywords: Jump diffusions; Stochastic control; Stochastic differential games; Sufficient maximum principle; Necessary maximum principle (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (2)

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DOI: 10.1007/s10957-008-9398-y

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