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

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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.

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