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

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

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title

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

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Journal of Optimization Theory and Applications

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publication date

27 November 2018

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zbMATH Keywords

necessary optimality conditions

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sufficient optimality conditions

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regular-singular control

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stochastic differential game

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asymmetric information

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saddle point

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Nash equilibrium

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optimal investment

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dividend

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model uncertainty

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MaRDI profile type

MaRDI publication profile

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full work available at URL

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

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cites work

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

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Optimal investment policy and dividend payment strategy in an insurance company

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

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

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MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS

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Coherent Measures of Risk

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Optimal investment and reinsurance of an insurer with model uncertainty

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

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Optimal investment, consumption and proportional reinsurance under model uncertainty

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

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Maximum principle for stochastic differential games with partial information

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

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

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Applied stochastic control of jump diffusions

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The stochastic maximum principle for a singular control problem

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Maximum Principle for Singular Stochastic Control Problems

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The Relaxed Stochastic Maximum Principle in Singular Optimal Control of Diffusions

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The relaxed general maximum principle for singular optimal control of diffusions

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

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

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

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

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Lévy Processes and Stochastic Calculus

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

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Leader-follower stochastic differential game with asymmetric information and applications

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Identifiers

zbMATH Open document ID

1418.91072

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DOI

10.1007/s10957-018-1251-3

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:1626506

@@ 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