Maximum principle via Malliavin calculus for regular-singular stochastic differential games
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Publication:1670534
DOI10.1007/s11590-017-1120-2zbMath1401.91016MaRDI QIDQ1670534
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
maximum principle; Malliavin calculus; stochastic differential game; regular-singular control; asymmetric partial informations
91A05: 2-person games
91A23: Differential games (aspects of game theory)
91A15: Stochastic games, stochastic differential games