Necessary and Sufficient Optimality Conditions for Regular–Singular Stochastic Differential Games with Asymmetric Information

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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...

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Bibliographic Details
Main Authors:	Wang, Y., Wang, L., Teo, Kok Lay
Format:	Journal Article
Published:	Springer New York LLC 2018
Online Access:	http://hdl.handle.net/20.500.11937/71263

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