Necessary and Sufficient Optimality Conditions for Regular–Singular Stochastic Differential Games with Asymmetric Information
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DOI: 10.1007/s10957-018-1251-3
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Cited by:
- Puru Gupta & Saul D. Jacka, 2023. "Portfolio Choice In Dynamic Thin Markets: Merton Meets Cournot," Papers 2309.16047, arXiv.org.
- Dianetti, Jodi, 2023. "Linear-Quadratic-Singular Stochastic Differential Games and Applications," Center for Mathematical Economics Working Papers 678, Center for Mathematical Economics, Bielefeld University.
- Dianetti, Jodi & Ferrari, Giorgio, 2019. "Nonzero-Sum Submodular Monotone-Follower Games. Existence and Approximation of Nash Equilibria," Center for Mathematical Economics Working Papers 605, Center for Mathematical Economics, Bielefeld University.
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Keywords
Necessary optimality conditions; Sufficient optimality conditions; Regular–singular control; Stochastic differential game; Asymmetric information; Saddle point; Nash equilibrium; Optimal investment; Dividend; Model uncertainty;All these keywords.
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