Maximum Principle for Stochastic Differential Games with Partial Information
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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.
KeywordsJump diffusions Stochastic control Stochastic differential games Sufficient maximum principle Necessary maximum principle
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