Partial information stochastic differential games for backward stochastic systems driven by Lévy processes

DOI10.1155/2020/8563790MaRDI QIDQ2004147zbMATH OpenOpenAlexFDO

Authors Fu Zhang, Qingxin Meng, Mao-ning Tang

Publication date 14 October 2020

Published in Mathematical Problems in Engineering (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/1708.03899

Mathematics Subject Classification ID

Differential games (aspects of game theory) (91A23) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

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 associated with a L'{e}vy process and an independent Brownian motion. One sufficient (a verification theorem) and one necessary conditions for the existence of optimal controls are proved. To illustrate the general results, a linear quadratic stochastic differential game problem is discussed.

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