Zobrazeno 1 - 9
of 9
pro vyhledávání: '"RAINER, CATHERINE"'
Autor:
Gensbittel, Fabien, Rainer, Catherine
We study a two-player zero-sum game in continuous time, where the payoff-a running cost-depends on a Brownian motion. This Brownian motion is observed in real time by one of the players. The other one observes only the actions of his opponent. We pro
Externí odkaz:
http://arxiv.org/abs/1610.02955
In this paper we consider a mean-field stochastic differential equation, also called Mc Kean-Vlasov equation, with initial data $(t,x)\in[0,T]\times R^d,$ which coefficients depend on both the solution $X^{t,x}_s$ but also its law. By considering squ
Externí odkaz:
http://arxiv.org/abs/1407.1215
We consider a two-player zero-sum game with integral payoff and with incomplete information on one side, where the payoff is chosen among a continuous set of possible payoffs. We prove that the value function of this game is solution of an auxiliary
Externí odkaz:
http://arxiv.org/abs/1202.4845
We consider a stochastic control problem which is composed of a controlled stochastic differential equation, and whose associated cost functional is defined through a controlled backward stochastic differential equation. Under appropriate convexity a
Externí odkaz:
http://arxiv.org/abs/0902.2693
For zero-sum two-player continuous-time games with integral payoff and incomplete information on one side, one shows that the optimal strategy of the informed player can be computed through an auxiliary optimization problem over some martingale measu
Externí odkaz:
http://arxiv.org/abs/0810.0220
We provide a short and elementary proof for the recently proved result by G. da Prato and H. Frankowska that -- under minimal assumptions -- a closed set is invariant with respect to a stochastic control system if and only if it is invariant with res
Externí odkaz:
http://arxiv.org/abs/0707.2353
Publikováno v:
Annals of Applied Probability 2008, Vol. 18, No. 2, 632-663
In this paper we study a class of stochastic control problems in which the control of the jump size is essential. Such a model is a generalized version for various applied problems ranging from optimal reinsurance selections for general insurance mod
Externí odkaz:
http://arxiv.org/abs/0706.4018
Publikováno v:
Stochastics and Stochastics Reports
Stochastics and Stochastics Reports, Informa UK (Taylor & Francis), 2010, 82 (1-3), pp.241-256
Stochastics and Stochastics Reports, Informa UK (Taylor & Francis), 2010, 82 (1-3), pp.241-256
International audience; We consider a stochastic control problem which is composed of a controlled stochastic differential equation, and whose associated cost functional is defined through a controlled backward stochastic differential equation. Under
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::494c2079fe6f97a0af244302ba91fe31
https://hal.archives-ouvertes.fr/hal-00350044/document
https://hal.archives-ouvertes.fr/hal-00350044/document
Publikováno v:
Mathematics of Operations Research
Mathematics of Operations Research, INFORMS, 2009, 34 (4), pp.769-794
Mathematics of Operations Research, INFORMS, 2009, 34 (4), pp.769-794
International audience; For zero-sum two-player continuous-time games with integral payoff and incomplete information on one side, one shows that the optimal strategy of the informed player can be computed through an auxiliary optimization problem ov
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::1c2fbcca4b9a24b20601ef25d1da19cc
https://hal.archives-ouvertes.fr/hal-00326093/file/SimpleExample081001.pdf
https://hal.archives-ouvertes.fr/hal-00326093/file/SimpleExample081001.pdf