Necessary and Sufficient Optimality Conditions for Regular–Singular Stochastic Differential Games with Asymmetric Information

Yan Wang (), Lei Wang () and Kok Lay Teo ()
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Yan Wang: Dalian Jiaotong University
Lei Wang: Dalian University of Technology
Kok Lay Teo: Curtin University

Journal of Optimization Theory and Applications, 2018, vol. 179, issue 2, No 6, 532 pages

Abstract: Abstract We consider a class of regular–singular stochastic differential games arising in the optimal investment and dividend problem of an insurer under model uncertainty. The information available to the two players is asymmetric partial information and the control variable of each player consists of two components: regular control and singular control. We establish the necessary and sufficient optimality conditions for the saddle point of the zero-sum game. Then, as an application, these conditions are applied to an optimal investment and dividend problem of an insurer under model uncertainty. Furthermore, we generalize our results to the nonzero-sum regular–singular game with asymmetric information, and then the Nash equilibrium point is characterized.

Keywords: Necessary optimality conditions; Sufficient optimality conditions; Regular–singular control; Stochastic differential game; Asymmetric information; Saddle point; Nash equilibrium; Optimal investment; Dividend; Model uncertainty; 91G80; 91A15; 91A23; 93E20; 60J75; 91B28; 91B30 (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (4)

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DOI: 10.1007/s10957-018-1251-3

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