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Stochastic differential games for optimal investment problems in a Markov regime-switching jump-diffusion market.

Emel SavkuGerhard-Wilhelm Weber
Published in: Ann. Oper. Res. (2022)
Keyphrases
  • decision making
  • optimal solution
  • optimization problems
  • stochastic dynamic programming
  • worst case
  • decision makers
  • game theory
  • nash equilibria
  • real option
  • approximation schemes