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

Wang, Y.; Song, A.; Wang, L.; Sun, Jie

doi:10.1007/s11590-017-1120-2

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Authors

Wang, Y.

Song, A.

Wang, L.

Sun, Jie

Date

2017

Type

Journal Article

Metadata

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Citation

Wang, Y. and Song, A. and Wang, L. and Sun, J. 2017. Maximum principle via Malliavin calculus for regular-singular stochastic differential games. Optimization Letters. In Press.

Source Title

Optimization Letters

DOI

10.1007/s11590-017-1120-2

ISSN

1862-4472

School

Department of Mathematics and Statistics

URI

http://hdl.handle.net/20.500.11937/52153

Collection

Curtin Research Publications

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.