A SPDE Maximum Principle for Stochastic Differential Games under Partial Information with Application to Optimal Portfolios on Fixed Income Markets

In this paper, we prove a maximum principle for general stochastic differential Stackelberg games, and apply the theory to continuous time newsvendor problems.. In the

The Mirrlees optimal income tax schedule can accordingly be seen as the so- lution to a problem of optimal design of incentives under asymmetric information, and it is clear that

Key Words: Stochastic partial differential equations (SPDEs), singular control of SPDEs, maximum principles, comparison theorem for SPDEs, reflected SPDEs, optimal stopping of

In this paper, we study a robust recursive utility maximization problem for time-delayed stochastic differential equation with jumps1. This problem can be written as a

We prove an existence and uniqueness result for non-linear time-advanced backward stochastic partial differential equations with jumps (ABSPDEJs).. We then apply our results to study

The paper is organized as follows: In Section 2 we study the partial optimal control problem for zero–sum stochastic differential games with g–expectations and we prove a

Stochastic control of the stochastic partial differential equations (SPDEs) arizing from partial observation control has been studied by Mortensen [M], using a dynamic

model uncertainty; stochastic differential game; stochastic maximum principle; operator- valued backward stochastic differential equation; optimal consumption of a mean-field cash