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

DOI10.1016/j.automatica.2011.11.010zbMath1260.93181OpenAlexW2089710246MaRDI QIDQ1941256

Guangchen Wang, Zhi-Yong Yu

Publication date: 12 March 2013

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.automatica.2011.11.010

zbMATH Keywords

maximum principlefilteringbackward stochastic differential equationportfolio choicenon-zero sum stochastic differential gameopen-loop Nash equilibrium point

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Differential games (aspects of game theory) (91A23) Optimal stochastic control (93E20) Stochastic games, stochastic differential games (91A15) Optimality conditions for problems involving randomness (49K45)

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