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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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