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    Necessary and Sufficient Optimality Conditions for Regular–Singular Stochastic Differential Games with Asymmetric Information

    Access Status
    Fulltext not available
    Authors
    Wang, Y.
    Wang, L.
    Teo, Kok Lay
    Date
    2018
    Type
    Journal Article
    
    Metadata
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    Citation
    Wang, Y. and Wang, L. and Teo, K.L. 2018. Necessary and Sufficient Optimality Conditions for Regular–Singular Stochastic Differential Games with Asymmetric Information. Journal of Optimization Theory and Applications. 179 (2): pp. 501-532.
    Source Title
    Journal of Optimization Theory and Applications
    DOI
    10.1007/s10957-018-1251-3
    ISSN
    0022-3239
    School
    School of Electrical Engineering, Computing and Mathematical Science (EECMS)
    URI
    http://hdl.handle.net/20.500.11937/71263
    Collection
    • Curtin Research Publications
    Abstract

    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.

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