Journal of Optimization Theory and Applications

, Volume 139, Issue 3, pp 463–483 | Cite as

Maximum Principle for Stochastic Differential Games with Partial Information

  • T. T. K. An
  • B. Øksendal


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.


Jump diffusions Stochastic control Stochastic differential games Sufficient maximum principle Necessary maximum principle 


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Copyright information

© Springer Science+Business Media, LLC 2008

Authors and Affiliations

  1. 1.Centre of Mathematics for Applications (CMA), Department of MathematicsUniversity of OsloOsloNorway
  2. 2.Norwegian School of Economics and Business AdmistrationBergenNorway

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