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 |
| _version_ | 1848758858462265344 |
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| author | Wang, Y. Song, A. Wang, L. Sun, Jie |
| author_facet | Wang, Y. Song, A. Wang, L. Sun, Jie |
| author_sort | Wang, Y. |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | 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. |
| first_indexed | 2025-11-14T09:50:40Z |
| format | Journal Article |
| id | curtin-20.500.11937-52153 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T09:50:40Z |
| publishDate | 2017 |
| publisher | Springer Verlag |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-521532017-09-13T15:48:50Z Maximum principle via Malliavin calculus for regular-singular stochastic differential games Wang, Y. Song, A. Wang, L. Sun, Jie 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. 2017 Journal Article http://hdl.handle.net/20.500.11937/52153 10.1007/s11590-017-1120-2 Springer Verlag restricted |
| spellingShingle | Wang, Y. Song, A. Wang, L. Sun, Jie Maximum principle via Malliavin calculus for regular-singular stochastic differential games |
| title | Maximum principle via Malliavin calculus for regular-singular stochastic differential games |
| title_full | Maximum principle via Malliavin calculus for regular-singular stochastic differential games |
| title_fullStr | Maximum principle via Malliavin calculus for regular-singular stochastic differential games |
| title_full_unstemmed | Maximum principle via Malliavin calculus for regular-singular stochastic differential games |
| title_short | Maximum principle via Malliavin calculus for regular-singular stochastic differential games |
| title_sort | maximum principle via malliavin calculus for regular-singular stochastic differential games |
| url | http://hdl.handle.net/20.500.11937/52153 |