We prove a maximum principle of optimal control of stochastic delay equations on infinite horizon. We establish first and second sufficient stochastic maximum principles as well as necessary conditions for that problem. ...

We prove maximum principles for the problem of optimal control for a jump diffusion with infinite horizon and partial information. The results are applied to partial information optimal consumption and portfolio problems ...

We study stochastic differential games of jump diffusions driven by Brownian motions and compensated Poisson random measures, where one of the players can choose the stochastic control and the other player can decide when ...

We study risk measures in relation to stochastic differential games in a Levy-market. We minimize a risk measure to get a min-max problem. The problem is to find an optimal solution for a convex risk measure in zero-sum ...