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Stochastics
An International Journal of Probability and Stochastic Processes
Volume 82, 2010 - Issue 1: Special issue on Filtering and Stochastic Control
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Original Articles

A SPDE maximum principle for stochastic differential games under partial information with application to optimal portfolios on fixed income markets

, &
Pages 3-23 | Received 26 Nov 2007, Accepted 22 Aug 2008, Published online: 16 Feb 2010
 

Abstract

In this paper, we aim at establishing a necessary and sufficient maximum principle for partial information control of general stochastic games, where the controlled process is given by a stochastic reaction–diffusion equation with jumps. As an application of this result we study a zero-sum stochastic differential game on a fixed income market, that is we solve the problem of finding an optimal strategy for portfolios of constant maturity interest rate derivatives managed by a trader who plays against various ‘market scenarios’. Here we permit the restriction that the trader has limited access to market information.

AMS Subject Classification (2000)::

Notes

Additional information

Notes on contributors

Frank Proske

1. 1. [email protected]

Mark Rubtsov

2. 2. [email protected]

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