Maximum principle for mean-field zero-sum stochastic differential game with partial information and its application to finance

Published 2017 View Full Article

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Title
Maximum principle for mean-field zero-sum stochastic differential game with partial information and its application to finance
Authors
Keywords
Stochastic control, Stochastic maximum principle, Stochastic differential games, Mean-field model, Backward stochastic differential equations
Journal
EUROPEAN JOURNAL OF CONTROL
Volume 37, Issue -, Pages 8-15
Publisher
Elsevier BV
Online
2017-05-18
DOI
10.1016/j.ejcon.2017.04.006

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