Forward-Backward Stochastic Differential Games and Stochastic Control under Model Uncertainty

Journal of Optimization Theory and Applications

Volumn 161, Issue 1, 2014, Pages 22-55

  Øksendal, Bernt ^a   Sulem, Agnès ^b  

^a UNIVERSITY OF OSLO   (Norway)

^b INRIA   (France)

Author keywords

Forward backward SDEs; Jump diffusions; Maximum principle; Model uncertainty; Optimal consumption; Optimal portfolio; Robust control; Stochastic differential games; Viability

Indexed keywords

GAME THEORY; MAXIMUM PRINCIPLE; OPTIMIZATION; STOCHASTIC CONTROL SYSTEMS; STOCHASTIC MODELS; STOCHASTIC SYSTEMS; UNCERTAINTY ANALYSIS;

BACKWARD SDES; CONDITION; FORWARD-BACKWARD SDE; JUMP-DIFFUSION; MODELING UNCERTAINTIES; OPTIMAL CONSUMPTION; OPTIMAL PORTFOLIOS; STOCHASTIC CONTROL; STOCHASTIC DIFFERENTIAL GAME; VIABILITY;

ROBUST CONTROL;

EID: 84898548087     PISSN: 00223239     EISSN: 15732878     Source Type: Journal    
DOI: 10.1007/s10957-012-0166-7     Document Type: Article

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