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 |
| _version_ | 1848762433612546048 |
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| author | Wang, Y. Wang, L. Teo, Kok Lay |
| author_facet | Wang, Y. Wang, L. Teo, Kok Lay |
| author_sort | Wang, Y. |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | 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. |
| first_indexed | 2025-11-14T10:47:30Z |
| format | Journal Article |
| id | curtin-20.500.11937-71263 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T10:47:30Z |
| publishDate | 2018 |
| publisher | Springer New York LLC |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-712632020-06-15T01:31:34Z Necessary and Sufficient Optimality Conditions for Regular–Singular Stochastic Differential Games with Asymmetric Information Wang, Y. Wang, L. Teo, Kok Lay 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. 2018 Journal Article http://hdl.handle.net/20.500.11937/71263 10.1007/s10957-018-1251-3 Springer New York LLC restricted |
| spellingShingle | Wang, Y. Wang, L. Teo, Kok Lay Necessary and Sufficient Optimality Conditions for Regular–Singular Stochastic Differential Games with Asymmetric Information |
| title | Necessary and Sufficient Optimality Conditions for Regular–Singular Stochastic Differential Games with Asymmetric Information |
| title_full | Necessary and Sufficient Optimality Conditions for Regular–Singular Stochastic Differential Games with Asymmetric Information |
| title_fullStr | Necessary and Sufficient Optimality Conditions for Regular–Singular Stochastic Differential Games with Asymmetric Information |
| title_full_unstemmed | Necessary and Sufficient Optimality Conditions for Regular–Singular Stochastic Differential Games with Asymmetric Information |
| title_short | Necessary and Sufficient Optimality Conditions for Regular–Singular Stochastic Differential Games with Asymmetric Information |
| title_sort | necessary and sufficient optimality conditions for regular–singular stochastic differential games with asymmetric information |
| url | http://hdl.handle.net/20.500.11937/71263 |