| Article ID: | iaor200912339 |
| Country: | United States |
| Volume: | 139 |
| Issue: | 3 |
| Start Page Number: | 463 |
| End Page Number: | 483 |
| Publication Date: | Dec 2008 |
| Journal: | Journal of Optimization Theory and Applications |
| Authors: | An T T K, ksendal B |
| Keywords: | game theory |
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.