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Maximum Principle for Stochastic Differential Games with Partial Information

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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.

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Authors and Affiliations

  1. Centre of Mathematics for Applications (CMA), Department of Mathematics, University of Oslo, P.O. Box 1053, Blindern, 0316, Oslo, Norway

    T. T. K. An & B. Øksendal

  2. Norwegian School of Economics and Business Admistration, Helleveien 30, 5045, Bergen, Norway

    B. Øksendal

Authors
  1. T. T. K. An
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  2. B. Øksendal
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Correspondence to T. T. K. An.

Additional information

Communicated by N.G. Mednin.

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An, T.T.K., Øksendal, B. Maximum Principle for Stochastic Differential Games with Partial Information. J Optim Theory Appl 139, 463–483 (2008). https://doi.org/10.1007/s10957-008-9398-y

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  • DOI: https://doi.org/10.1007/s10957-008-9398-y

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