Maximum principle via Malliavin calculus for regular-singular stochastic differential games
dc.contributor.author | Wang, Y. | |
dc.contributor.author | Song, A. | |
dc.contributor.author | Wang, L. | |
dc.contributor.author | Sun, Jie | |
dc.date.accessioned | 2017-04-28T13:57:46Z | |
dc.date.available | 2017-04-28T13:57:46Z | |
dc.date.created | 2017-04-28T09:06:07Z | |
dc.date.issued | 2017 | |
dc.identifier.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. | |
dc.identifier.uri | http://hdl.handle.net/20.500.11937/52153 | |
dc.identifier.doi | 10.1007/s11590-017-1120-2 | |
dc.description.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. | |
dc.publisher | Springer Verlag | |
dc.title | Maximum principle via Malliavin calculus for regular-singular stochastic differential games | |
dc.type | Journal Article | |
dcterms.source.startPage | 1 | |
dcterms.source.endPage | 14 | |
dcterms.source.issn | 1862-4472 | |
dcterms.source.title | Optimization Letters | |
curtin.department | Department of Mathematics and Statistics | |
curtin.accessStatus | Fulltext not available |
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