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

DOI10.1155/2020/8563790zbMATH Open1459.91020arXiv1708.03899OpenAlexW3087266973MaRDI QIDQ2004147FDOQ2004147

Authors: Fu Zhang, Qingxin Meng, Mao-ning Tang 

Publication date: 14 October 2020

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

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.

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

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Mathematics Subject Classification ID

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

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