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dc.date.accessioned2013-03-12T08:17:40Z
dc.date.available2013-03-12T08:17:40Z
dc.date.issued2008en_US
dc.date.submitted2009-11-12en_US
dc.identifier.urihttp://hdl.handle.net/10852/10506
dc.description.abstractIn this paper we consider a general partial information stochastic differential game where the state process is a controlled Itô-Lévy process. We use Malliavin calculus to derive a maximum principle for general stochastic differential games. The results are applied to solve a worst case scenario portfolio problem in finance.eng
dc.language.isoengen_US
dc.publisherMatematisk Institutt, Universitetet i Oslo
dc.relation.ispartofPreprint series. Pure mathematics http://urn.nb.no/URN:NBN:no-8076en_US
dc.relation.urihttp://urn.nb.no/URN:NBN:no-8076
dc.titleA Malliavin calculus approach to general stochastic differential games with partial informationen_US
dc.typeResearch reporten_US
dc.date.updated2012-06-13en_US
dc.creator.authorYolcu Okur, Yelizen_US
dc.creator.authorØksendal, Bernten_US
dc.creator.authorTa, An Thi Kieuen_US
dc.subject.nsiVDP::410en_US
dc.identifier.urnURN:NBN:no-23465en_US
dc.type.documentForskningsrapporten_US
dc.identifier.duo96785en_US
dc.identifier.fulltextFulltext https://www.duo.uio.no/bitstream/handle/10852/10506/1/pm26-08.pdf


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