Maximum principle via Malliavin calculus for regular-singular stochastic differential games

被引：1

作者：

Wang, Yan ^{[1
]}

Song, Aimin ^{[1
]}

Wang, Lei ^{[2
]}

Sun, Jie ^{[3
]}

机构：

[1] Dalian Jiaotong Univ, Sch Sci, Dalian 116028, Peoples R China

[2] Dalian Univ Technol, Sch Math Sci, Dalian 116023, Peoples R China

[3] Curtin Univ, Dept Math & Stat, Bentley, WA, Australia

来源：

OPTIMIZATION LETTERS | 2018年 / 12卷 / 06期

关键词：

Maximum principle; Stochastic differential game; Regular-singular control; Malliavin calculus; Asymmetric partial informations; PARTIAL INFORMATION; SYSTEMS;

D O I：

10.1007/s11590-017-1120-2

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

We consider non-zero-sum regular-singular stochastic differential games, where the informations available to the two players are asymmetry partial informations. The control strategy of each player consists of two components: regular control and singular control. Applying the Malliavin calculus approach, we establish a necessary maximum principle for the games, where the adjoint processes are explicitly represented by the parameters and the states of the system.

引用

页码：1301 / 1314

页数：14

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