Release Time:2019-03-12  Hits:

Indexed by: Journal Article

Date of Publication: 2018-08-01

Journal: OPTIMIZATION LETTERS

Included Journals: CPCI-S、SCIE

Volume: 12

Issue: 6,SI

Page Number: 1301-1314

ISSN: 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.