Partial Information Stochastic Differential Games for Backward Stochastic Systems Driven by Lévy Processes-Reference-Cited by-同舟云学术

Partial Information Stochastic Differential Games for Backward Stochastic Systems Driven by Lévy Processes

Published:2020-09-18 Issue: Volume:2020 Page:1-7
ISSN:1024-123X
Container-title:Mathematical Problems in Engineering
language:en
Short-container-title:Mathematical Problems in Engineering

Author:

Zhang Fu¹^ORCID,Meng QingXin²^ORCID,Tang MaoNing²^ORCID

Affiliation:

1. College of Science, University of Shanghai for Science and Technology, Shanghai 200433, China

2. Department of Mathematics, Huzhou University, Zhejiang 313000, China

Abstract

In this paper, we consider a partial information two-person zero-sum stochastic differential game problem, where the system is governed by a backward stochastic differential equation driven by Teugels martingales and an independent Brownian motion. A sufficient condition and a necessary one for the existence of the saddle point for the game are proved. As an application, a linear quadratic stochastic differential game problem is discussed.

Funder

National Natural Science Foundation of China

Publisher

Hindawi Limited

Subject

General Engineering,General Mathematics

Link

http://downloads.hindawi.com/journals/mpe/2020/8563790.pdf

Reference16 articles.

1. Maximum Principle for Stochastic Differential Games with Partial Information

2. Forward–Backward Stochastic Differential Games and Stochastic Control under Model Uncertainty

3. A partial information non-zero sum differential game of backward stochastic differential equations with applications

4. Chaotic and predictable representations for Lévy processes

5. Backward Stochastic Differential Equations and Feynman-Kac Formula for Levy Processes, with Applications in Finance