Hide metadata

dc.date.accessioned2013-03-12T08:19:48Z
dc.date.available2013-03-12T08:19:48Z
dc.date.issued2007en_US
dc.date.submitted2009-11-13en_US
dc.identifier.urihttp://hdl.handle.net/10852/10511
dc.description.abstractIn 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.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 MAXIMUM PRINCIPLE FOR STOCHASTIC DIFFERENTIAL GAMES WITH PARTIAL INFORMATIONen_US
dc.typeResearch reporten_US
dc.date.updated2012-06-13en_US
dc.creator.authorØksendal, Bernten_US
dc.creator.authorTa, An Thi Kieuen_US
dc.subject.nsiVDP::410en_US
dc.identifier.urnURN:NBN:no-23474en_US
dc.type.documentForskningsrapporten_US
dc.identifier.duo96801en_US
dc.identifier.fulltextFulltext https://www.duo.uio.no/bitstream/handle/10852/10511/1/pm04-07.pdf


Files in this item

Appears in the following Collection

Hide metadata