We consider non-zero-sum regular-singular stochastic differential games, where the informations available to the two players are asymmetry partial informations. The control strategy of each player consists of two components: regular control and singular control. Applying the Malliavin calculus approach, we establish a necessary maximum principle for the games, where the adjoint processes are explicitly represented by the parameters and the states of the system
We present various versions of the maximum principle for optimal control of forward-backward SDEs wi...
We study optimal stochastic control problems with jumps under model uncertainty. We rewrite such pro...
We study optimal stochastic control problems under model uncertainty. We rewrite such problems as (z...
In this paper we consider a general partial information stochastic differential game where the state...
In this paper we first deal with the problem of optimal control for zero-sum stochastic differential...
AbstractThis paper is concerned with a maximum principle for both zero-sum and nonzero-sum games. Th...
In this paper we use techniques of Malliavin calculus and forward integration to present a general s...
In this paper we employ Malliavin calculus to derive a general stochastic maximum principle for stoc...
We construct a stochastic maximum principle (SMP) which provides necessary conditions for the existe...
In this paper, we initiate a study on optimal control problem for stochastic differential games unde...
This paper considers a mean-field type stochastic control problem where the dynamics is governed by ...
The defining trait of singular perturbation problems in dynamical systems is the degeneracy of the h...
In this paper, an optimal singular stochastic control problem is considered. For this model, it is o...
We study optimal stochastic control problems with jumps under model uncertainty. We rewrite such pro...
Solutions of stochastic Volterra (integral) equations are not Markov processes, and therefore, class...
We present various versions of the maximum principle for optimal control of forward-backward SDEs wi...
We study optimal stochastic control problems with jumps under model uncertainty. We rewrite such pro...
We study optimal stochastic control problems under model uncertainty. We rewrite such problems as (z...
In this paper we consider a general partial information stochastic differential game where the state...
In this paper we first deal with the problem of optimal control for zero-sum stochastic differential...
AbstractThis paper is concerned with a maximum principle for both zero-sum and nonzero-sum games. Th...
In this paper we use techniques of Malliavin calculus and forward integration to present a general s...
In this paper we employ Malliavin calculus to derive a general stochastic maximum principle for stoc...
We construct a stochastic maximum principle (SMP) which provides necessary conditions for the existe...
In this paper, we initiate a study on optimal control problem for stochastic differential games unde...
This paper considers a mean-field type stochastic control problem where the dynamics is governed by ...
The defining trait of singular perturbation problems in dynamical systems is the degeneracy of the h...
In this paper, an optimal singular stochastic control problem is considered. For this model, it is o...
We study optimal stochastic control problems with jumps under model uncertainty. We rewrite such pro...
Solutions of stochastic Volterra (integral) equations are not Markov processes, and therefore, class...
We present various versions of the maximum principle for optimal control of forward-backward SDEs wi...
We study optimal stochastic control problems with jumps under model uncertainty. We rewrite such pro...
We study optimal stochastic control problems under model uncertainty. We rewrite such problems as (z...