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: | , , , |
|---|---|
| Format: | Journal Article |
| Published: |
Springer Verlag
2017
|
| Online Access: | http://hdl.handle.net/20.500.11937/52153 |
| Summary: | 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. |
|---|