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个人信息Personal Information
教授
博士生导师
硕士生导师
主要任职：数学科学学院副院长
其他任职：石河子大学理学院院长（援疆）
性别：男
毕业院校：大连理工大学
学位：博士
所在单位：数学科学学院
学科：运筹学与控制论
电子邮箱：wanglei@dlut.edu.cn
Maximum principle via Malliavin calculus for regular-singular stochastic differential games
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论文类型：期刊论文
第一作者：Wang, Yan
通讯作者：Song, AM (reprint author), Dalian Jiaotong Univ, Sch Sci, Dalian 116028, Peoples R China.
合写作者：Song, Aimin,Wang, Lei,Sun, Jie
发表时间：2018-08-01
发表刊物：OPTIMIZATION LETTERS
收录刊物：SCIE、CPCI-S
卷号：12
期号：6,SI
页面范围：1301-1314
ISSN号：1862-4472
关键字：Maximum principle; Stochastic differential game; Regular-singular control; Malliavin calculus; Asymmetric partial informations
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.