Necessary and sufficient optimality conditions for regular-singular stochastic differential games with asymmetric information
DOI10.1007/s10957-018-1251-3zbMath1418.91072OpenAlexW2788429095WikidataQ130199200 ScholiaQ130199200MaRDI QIDQ1626506
Yan Wang, Kok Lay Teo, Lei Wang
Publication date: 27 November 2018
Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10957-018-1251-3
necessary optimality conditionsasymmetric informationNash equilibriumsaddle pointstochastic differential gamemodel uncertaintysufficient optimality conditionsoptimal investmentdividendregular-singular control
Differential games (aspects of game theory) (91A23) Optimal stochastic control (93E20) Stochastic games, stochastic differential games (91A15) Optimality conditions for problems involving randomness (49K45) Portfolio theory (91G10)
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