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Maximum Principle for Stochastic Differential Games with Partial Information

Author

Listed:
  • T. T. K. An

    (University of Oslo)

  • B. Øksendal

    (University of Oslo
    Norwegian School of Economics and Business Admistration)

Abstract

In 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.

Suggested Citation

  • T. T. K. An & B. Øksendal, 2008. "Maximum Principle for Stochastic Differential Games with Partial Information," Journal of Optimization Theory and Applications, Springer, vol. 139(3), pages 463-483, December.
    • Handle: RePEc:spr:joptap:v:139:y:2008:i:3:d:10.1007_s10957-008-9398-y
    DOI: 10.1007/s10957-008-9398-y
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    References listed on IDEAS

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    1. N. C. Framstad & B. Øksendal & A. Sulem, 2004. "Sufficient Stochastic Maximum Principle for the Optimal Control of Jump Diffusions and Applications to Finance," Journal of Optimization Theory and Applications, Springer, vol. 121(1), pages 77-98, April.
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