A maximum principle for stochastic differential games with g-expectations and partial information

Stochastics

Volumn 84, Issue 2-3, 2012, Pages 137-155

  An, Ta Thi Kieu ^a   Øksendal, Bernt ^a,b  

^a UNIVERSITY OF OSLO   (Norway)

^b NORWEGIAN SCHOOL OF ECONOMICS   (Norway)

Author keywords

forward backward stochastic differential equations; g expectation; jump diffusion; stochastic control; stochastic differential game; sufficient maximum principle

Indexed keywords

EID: 84860347435     PISSN: 17442508     EISSN: 17442516     Source Type: Journal    
DOI: 10.1080/17442508.2010.532875     Document Type: Article

References (11)

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