Maximum Principle for Stochastic Differential Games with Partial Information
نویسندگان
چکیده
منابع مشابه
A Maximum Principle for Stochastic Differential Games with g–expectations and partial information
In this paper, we initiate a study on optimal control problem for stochastic differential games under generalized expectation via backward stochastic differential equations and partial information. We first prove a sufficient maximum principle for zero-sum stochastic differential game problem. And then extend our approach to general stochastic differential games (nonzero–sum games), and obtain ...
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ژورنال
عنوان ژورنال: Journal of Optimization Theory and Applications
سال: 2008
ISSN: 0022-3239,1573-2878
DOI: 10.1007/s10957-008-9398-y