Maximum principle via Malliavin calculus for regular-singular stochastic differential games
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 appro...
| Main Authors: | , , , |
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| Format: | Journal Article |
| Published: |
Springer Verlag
2017
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| Online Access: | http://hdl.handle.net/20.500.11937/52153 |