Necessary and Sufficient Optimality Conditions for Regular–Singular Stochastic Differential Games with Asymmetric Information
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 c...
| Main Authors: | , , |
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| Format: | Journal Article |
| Published: |
Springer New York LLC
2018
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| Online Access: | http://hdl.handle.net/20.500.11937/71263 |