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

DOI10.1016/j.automatica.2011.11.010zbMath1260.93181MaRDI 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 principle; filtering; backward stochastic differential equation; portfolio choice; non-zero sum stochastic differential game; open-loop Nash equilibrium point

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

91A23: Differential games (aspects of game theory)

93E20: Optimal stochastic control

91A15: Stochastic games, stochastic differential games

49K45: Optimality conditions for problems involving randomness

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