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

DOI10.1007/s11590-017-1120-2zbMath1401.91016OpenAlexW2591685814MaRDI QIDQ1670534

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

zbMATH Keywords

maximum principleMalliavin calculusstochastic differential gameregular-singular controlasymmetric partial informations

Mathematics Subject Classification ID

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

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