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Indexed by:期刊论文
Date of Publication:2018-08-01
Journal:OPTIMIZATION LETTERS
Included Journals:SCIE、CPCI-S
Volume:12
Issue:6,SI
Page Number:1301-1314
ISSN No.:1862-4472
Key Words:Maximum principle; Stochastic differential game; Regular-singular control; Malliavin calculus; Asymmetric partial informations
Abstract: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.