Stochastic maximum principle for non-zero sum differential games of FBSDEs with impulse controls and its application to finance

Dejian Chang;  ; Zhen Wu

doi:10.3934/jimo.2015.11.27

Stochastic maximum principle for non-zero sum differential games of FBSDEs with impulse controls and its application to finance

Journal of Industrial & Management Optimization ◽

10.3934/jimo.2015.11.27 ◽

2015 ◽

Vol 11 (1) ◽

pp. 27-40 ◽

Cited By ~ 2

Author(s):

Dejian Chang ◽

◽

Zhen Wu

Keyword(s):

Maximum Principle ◽

Differential Games ◽

Stochastic Maximum Principle ◽

Zero Sum ◽

Impulse Controls

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The Stochastic Maximum Principle for a Jump-Diffusion Mean-Field Model Involving Impulse Controls and Applications in Finance

Journal of Systems Science and Complexity ◽

10.1007/s11424-018-8095-7 ◽

2019 ◽

Vol 33 (1) ◽

pp. 26-42

Author(s):

Cailing Li ◽

Zaiming Liu ◽

Jinbiao Wu ◽

Xiang Huang

Keyword(s):

Maximum Principle ◽

Field Model ◽

Mean Field ◽

Jump Diffusion ◽

Stochastic Maximum Principle ◽

Mean Field Model ◽

Impulse Controls

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A Pontryagin's Maximum Principle for Non-Zero Sum Differential Games of BSDEs with Applications

IEEE Transactions on Automatic Control ◽

10.1109/tac.2010.2048052 ◽

2010 ◽

Vol 55 (7) ◽

pp. 1742-1747 ◽

Cited By ~ 47

Author(s):

Guangchen Wang ◽

Zhiyong Yu

Keyword(s):

Maximum Principle ◽

Differential Games ◽

Pontryagin’S Maximum Principle ◽

Pontryagin's Maximum Principle ◽

Zero Sum

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The stochastic maximum principle for optimal control problems of delay systems involving continuous and impulse controls

Automatica ◽

10.1016/j.automatica.2012.06.082 ◽

2012 ◽

Vol 48 (10) ◽

pp. 2420-2432 ◽

Cited By ~ 43

Author(s):

Zhiyong Yu

Keyword(s):

Optimal Control ◽

Maximum Principle ◽

Optimal Control Problems ◽

Stochastic Maximum Principle ◽

Delay Systems ◽

Control Problems ◽

Impulse Controls

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Stochastic Maximum Principle for Optimal Control Problems of Forward-Backward Systems Involving Impulse Controls

IEEE Transactions on Automatic Control ◽

10.1109/tac.2011.2114990 ◽

2011 ◽

Vol 56 (6) ◽

pp. 1401-1406 ◽

Cited By ~ 20

Author(s):

Zhen Wu ◽

Feng Zhang

Keyword(s):

Optimal Control ◽

Maximum Principle ◽

Optimal Control Problems ◽

Stochastic Maximum Principle ◽

Control Problems ◽

Impulse Controls

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Zero-sum differential games involving impulse controls

Applied Mathematics & Optimization ◽

10.1007/bf01189477 ◽

1994 ◽

Vol 29 (3) ◽

pp. 243-261 ◽

Cited By ~ 23

Author(s):

Jiongmin Yong

Keyword(s):

Differential Games ◽

Zero Sum ◽

Impulse Controls

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Stochastic maximum principle for optimal control problems of forward-backward delay systems involving impulse controls

Journal of Systems Science and Complexity ◽

10.1007/s11424-016-5039-y ◽

2016 ◽

Vol 30 (2) ◽

pp. 280-306 ◽

Cited By ~ 5

Author(s):

Shujun Wang ◽

Zhen Wu

Keyword(s):

Optimal Control ◽

Maximum Principle ◽

Optimal Control Problems ◽

Stochastic Maximum Principle ◽

Delay Systems ◽

Control Problems ◽

Impulse Controls

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A Risk-Sensitive Maximum Principle for Non-Zero Sum Differential Games of BSDEs

2018 37th Chinese Control Conference (CCC) ◽

10.23919/chicc.2018.8482977 ◽

2018 ◽

Author(s):

Ruimin Xu

Keyword(s):

Maximum Principle ◽

Differential Games ◽

Risk Sensitive ◽

Zero Sum

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The stochastic maximum principle for jump-diffusion optimal control problems of delay systems involving continuous and impulse controls and its applications to finance

2019 Chinese Control And Decision Conference (CCDC) ◽

10.1109/ccdc.2019.8832431 ◽

2019 ◽

Author(s):

Cailing Li

Keyword(s):

Optimal Control ◽

Maximum Principle ◽

Optimal Control Problems ◽

Jump Diffusion ◽

Stochastic Maximum Principle ◽

Delay Systems ◽

Control Problems ◽

Impulse Controls

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Portfolio optimization managing value at risk under heavy tail return, using stochastic maximum principle

Stochastic Analysis and Applications ◽

10.1080/07362994.2020.1864405 ◽

2021 ◽

pp. 1-2

Author(s):

Subhojit Biswas ◽

Mrinal K. Ghosh ◽

Diganta Mukherjee

Keyword(s):

At Risk ◽

Maximum Principle ◽

Portfolio Optimization ◽

Value At Risk ◽

Heavy Tail ◽

Stochastic Maximum Principle

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Zero-sum differential games-based fast adaptive robust optimal sliding mode control design for uncertain missile autopilot with constrained-input

International Journal of Control ◽

10.1080/00207179.2021.1872802 ◽

2021 ◽

pp. 1-26

Author(s):

Yuxin Gao ◽

Chunsheng Liu ◽

Sen Jiang ◽

Shaojie Zhang

Keyword(s):

Sliding Mode Control ◽

Differential Games ◽

Sliding Mode ◽

Control Design ◽

Mode Control ◽

Zero Sum ◽

Constrained Input

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