dc.date.accessioned | 2013-03-12T08:22:32Z | |
dc.date.available | 2013-03-12T08:22:32Z | |
dc.date.issued | 2009 | en_US |
dc.date.submitted | 2009-05-25 | en_US |
dc.identifier.citation | Haadem, Sven. Risk Measures and Differential Games. Masteroppgave, University of Oslo, 2009 | en_US |
dc.identifier.uri | http://hdl.handle.net/10852/10828 | |
dc.description.abstract | 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 games with a 3-dimensional controller. To verify a solution we develop a Hamilton-Jacobi-Bellman-Isacs (HJBI) equation and prove it. Moreover we provide a Nash-equilibrium game that includes scenario optimization.These results are illustrated by entropic risk measure and more general cases. Further, a HJBI equation for dynamic risk measures are shown and proven. We extend our convex risk measure model to include stopping control. Last, a theorem for viscosity solutions are shown and proven. | eng |
dc.language.iso | eng | en_US |
dc.subject | risikomål differensialspill optimalisering risiko HJBI HJB | en_US |
dc.title | Risk Measures and Differential Games | en_US |
dc.type | Master thesis | en_US |
dc.date.updated | 2009-10-13 | en_US |
dc.creator.author | Haadem, Sven | en_US |
dc.subject.nsi | VDP::412 | en_US |
dc.identifier.bibliographiccitation | info:ofi/fmt:kev:mtx:ctx&ctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:dissertation&rft.au=Haadem, Sven&rft.title=Risk Measures and Differential Games&rft.inst=University of Oslo&rft.date=2009&rft.degree=Masteroppgave | en_US |
dc.identifier.urn | URN:NBN:no-23223 | en_US |
dc.type.document | Masteroppgave | en_US |
dc.identifier.duo | 92251 | en_US |
dc.contributor.supervisor | Bernt Øksendal | en_US |
dc.identifier.bibsys | 093505124 | en_US |
dc.identifier.fulltext | Fulltext https://www.duo.uio.no/bitstream/handle/10852/10828/1/Master_Oppgave_Haadem.pdf | |