Necessary and sufficient optimality conditions for regular-singular stochastic differential games with asymmetric information (Q1626506): Difference between revisions

Latest revision as of 12:36, 23 September 2024

scientific article

Language	Label	Description	Also known as
English	Necessary and sufficient optimality conditions for regular-singular stochastic differential games with asymmetric information	scientific article

Statements

instance of

scholarly article

0 references

title

Necessary and sufficient optimality conditions for regular-singular stochastic differential games with asymmetric information (English)

0 references

0 references

0 references

0 references

Journal of Optimization Theory and Applications

0 references

publication date

27 November 2018

0 references

zbMATH Keywords

necessary optimality conditions

0 references

sufficient optimality conditions

0 references

regular-singular control

0 references

stochastic differential game

0 references

asymmetric information

0 references

saddle point

0 references

Nash equilibrium

0 references

optimal investment

0 references

dividend

0 references

model uncertainty

0 references

MaRDI profile type

MaRDI publication profile

0 references

full work available at URL

https://doi.org/10.1007/s10957-018-1251-3

0 references

cites work

Optimal dynamic portfolio selection for a corporation with controllable risk and dividend distribution policy

0 references

Optimal investment policy and dividend payment strategy in an insurance company

0 references

Numerical methods for optimal dividend payment and investment strategies of Markov-modulated jump diffusion models with regular and singular controls

0 references

Stochastic maximum principle for partial information optimal investment and dividend problem of an insurer

0 references

MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS

0 references

Coherent Measures of Risk

0 references

Optimal investment and reinsurance of an insurer with model uncertainty

0 references

A stochastic differential game for optimal investment of an insurer with regime switching

0 references

Optimal investment, consumption and proportional reinsurance under model uncertainty

0 references

Forward-backward stochastic differential games for optimal investment and dividend problem of an insurer under model uncertainty

0 references

Maximum principle for stochastic differential games with partial information

0 references

Singular Stochastic Control and Optimal Stopping with Partial Information of Itô--Lévy Processes

0 references

A Maximum Principle via Malliavin calculus for combined stochastic control and impulse control of forward-backward systems

0 references

Applied stochastic control of jump diffusions

0 references

The stochastic maximum principle for a singular control problem

0 references

Maximum Principle for Singular Stochastic Control Problems

0 references

The Relaxed Stochastic Maximum Principle in Singular Optimal Control of Diffusions

0 references

The relaxed general maximum principle for singular optimal control of diffusions

0 references

On near-optimal mean-field stochastic singular controls: necessary and sufficient conditions for near-optimality

0 references

Necessary and Sufficient Near-Optimal Conditions for Mean-Field Singular Stochastic Controls

0 references

Stochastic maximum principle for mixed regular-singular control problems of forward-backward systems

0 references

On partial-information optimal singular control problem for mean-field stochastic differential equations driven by Teugels martingales measures

0 references

Lévy Processes and Stochastic Calculus

0 references

Risk theory for the compound Poisson process that is perturbed by diffusion

0 references

Leader-follower stochastic differential game with asymmetric information and applications

0 references

Identifiers

zbMATH Open document ID

1418.91072

0 references

DOI

10.1007/s10957-018-1251-3

0 references

Mathematics Subject Classification ID

0 references

0 references

0 references

0 references

0 references

0 references

0 references

0 references

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:1626506

@@ Property / full work available at URL @@
+https://doi.org/10.1007/s10957-018-1251-3
+Normal rank
@@ Property / OpenAlex ID @@
+W2788429095
@@ Property / OpenAlex ID: W2788429095 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal dynamic portfolio selection for a corporation with controllable risk and dividend distribution policy
+Normal rank
@@ Property / cites work @@
+Optimal investment policy and dividend payment strategy in an insurance company
+Normal rank
@@ Property / cites work @@
+Numerical methods for optimal dividend payment and investment strategies of Markov-modulated jump diffusion models with regular and singular controls
+Normal rank
@@ Property / cites work @@
+Stochastic maximum principle for partial information optimal investment and dividend problem of an insurer
+Normal rank
@@ Property / cites work @@
+MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
+Normal rank
@@ Property / cites work @@
+Coherent Measures of Risk
@@ Property / cites work: Coherent Measures of Risk / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal investment and reinsurance of an insurer with model uncertainty
+Normal rank
@@ Property / cites work @@
+A stochastic differential game for optimal investment of an insurer with regime switching
+Normal rank
@@ Property / cites work @@
+Optimal investment, consumption and proportional reinsurance under model uncertainty
+Normal rank
@@ Property / cites work @@
+Forward-backward stochastic differential games for optimal investment and dividend problem of an insurer under model uncertainty
+Normal rank
@@ Property / cites work @@
+Maximum principle for stochastic differential games with partial information
+Normal rank
@@ Property / cites work @@
+Singular Stochastic Control and Optimal Stopping with Partial Information of Itô--Lévy Processes
+Normal rank
@@ Property / cites work @@
+A Maximum Principle via Malliavin calculus for combined stochastic control and impulse control of forward-backward systems
+Normal rank
@@ Property / cites work @@
+Applied stochastic control of jump diffusions
@@ Property / cites work: Applied stochastic control of jump diffusions / rank @@
+Normal rank
@@ Property / cites work @@
+The stochastic maximum principle for a singular control problem
+Normal rank
@@ Property / cites work @@
+Maximum Principle for Singular Stochastic Control Problems
+Normal rank
@@ Property / cites work @@
+The Relaxed Stochastic Maximum Principle in Singular Optimal Control of Diffusions
+Normal rank
@@ Property / cites work @@
+The relaxed general maximum principle for singular optimal control of diffusions
+Normal rank
@@ Property / cites work @@
+On near-optimal mean-field stochastic singular controls: necessary and sufficient conditions for near-optimality
+Normal rank
@@ Property / cites work @@
+Necessary and Sufficient Near-Optimal Conditions for Mean-Field Singular Stochastic Controls
+Normal rank
@@ Property / cites work @@
+Stochastic maximum principle for mixed regular-singular control problems of forward-backward systems
+Normal rank
@@ Property / cites work @@
+On partial-information optimal singular control problem for mean-field stochastic differential equations driven by Teugels martingales measures
+Normal rank
@@ Property / cites work @@
+Lévy Processes and Stochastic Calculus
@@ Property / cites work: Lévy Processes and Stochastic Calculus / rank @@
+Normal rank
@@ Property / cites work @@
+Risk theory for the compound Poisson process that is perturbed by diffusion
+Normal rank
@@ Property / cites work @@
+Leader-follower stochastic differential game with asymmetric information and applications
+Normal rank
@@ Property / Wikidata QID @@
+Q130199200
@@ Property / Wikidata QID: Q130199200 / rank @@
+Normal rank