Nonzero sum differential game of mean-field BSDEs with jumps under partial information (Q1718654)
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English | Nonzero sum differential game of mean-field BSDEs with jumps under partial information |
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Nonzero sum differential game of mean-field BSDEs with jumps under partial information (English)
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8 February 2019
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Summary: This paper is concerned with a kind of nonzero sum differential game of mean-field backward stochastic differential equations with jump (MF-BSDEJ), in which the coefficient contains not only the state process but also its marginal distribution. Moreover, the cost functional is also of mean-field type. It is required that the control is adapted to a subfiltration of the filtration generated by the underlying Brownian motion and Poisson random measure. We establish a necessary condition in the form of maximum principle with Pontryagin's type for open-loop Nash equilibrium point of this type of partial information game and then give a verification theorem which is a sufficient condition for Nash equilibrium point. The theoretical results are applied to study a partial information linear-quadratic (LQ) game.
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