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dc.contributor.authorWang, Y.
dc.contributor.authorSong, A.
dc.contributor.authorWang, L.
dc.contributor.authorSun, Jie
dc.identifier.citationWang, 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.

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.

dc.publisherSpringer Verlag
dc.titleMaximum principle via Malliavin calculus for regular-singular stochastic differential games
dc.typeJournal Article
dcterms.source.titleOptimization Letters
curtin.departmentDepartment of Mathematics and Statistics
curtin.accessStatusFulltext not available

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