Maximum principle via Malliavin calculus for regular-singular stochastic differential games

DOI10.1007/S11590-017-1120-2zbMATH Open1401.91016OpenAlexW2591685814MaRDI QIDQ1670534FDOQ1670534

Authors: Peng Zhang 

Publication date: 5 September 2018

Published in: Optimization Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11590-017-1120-2

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zbMATH Keywords

Malliavin calculusmaximum principlestochastic differential gameregular-singular controlasymmetric partial informations

Mathematics Subject Classification ID

Differential games (aspects of game theory) (91A23) 2-person games (91A05) Stochastic games, stochastic differential games (91A15)

Cites Work

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Cited In (5)

• A Malliavin calculus approach to general stochastic differential games with partial information
• The Malliavin calculus and stochastic differential games with information asymmetry
• Stochastic differential games in insider markets via Malliavin calculus
• Necessary and sufficient optimality conditions for regular-singular stochastic differential games with asymmetric information
• A stochastic maximum principle for mixed regular-singular control problems via Malliavin calculus

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