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论文类型：期刊论文

发表时间：2018-11-01

发表刊物：JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS

收录刊物：SCIE、SSCI

卷号：179

期号：2,SI

页面范围：501-532

ISSN号：0022-3239

关键字：Necessary optimality conditions; Sufficient optimality conditions; Regular-singular control; Stochastic differential game; Asymmetric information; Saddle point; Nash equilibrium; Optimal investment; Dividend; Model uncertainty; 91G80; 91A15; 91A23; 93E20; 60J75; 91B28; 91B30

摘要：We consider a class of regular-singular stochastic differential games arising in the optimal investment and dividend problem of an insurer under model uncertainty. The information available to the two players is asymmetric partial information and the control variable of each player consists of two components: regular control and singular control. We establish the necessary and sufficient optimality conditions for the saddle point of the zero-sum game. Then, as an application, these conditions are applied to an optimal investment and dividend problem of an insurer under model uncertainty. Furthermore, we generalize our results to the nonzero-sum regular-singular game with asymmetric information, and then the Nash equilibrium point is characterized.