Linear-quadratic partially observed forward-backward stochastic differential games and its application in finance

DOI10.1016/j.amc.2017.11.015zbMath1427.91028OpenAlexW2769329835MaRDI QIDQ2423079

Yi Zhuang, Zhen Wu

Publication date: 21 June 2019

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2017.11.015

zbMATH Keywords

linear-quadratic problemstochastic differential gamepartial informationforward-backward stochastic differential equationg-expectation

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Financial applications of other theories (91G80) Stochastic games, stochastic differential games (91A15)

Related Items (6)

Stackelberg stochastic differential game with asymmetric noisy observations ⋮ Stochastic Linear-Quadratic Optimal Control with Partial Observation ⋮ Optimal portfolio selection of mean-variance utility with stochastic interest rate ⋮ Linear quadratic control of backward stochastic differential equation with partial information ⋮ Observer-based stabilization of sector-bounded nonlinear stochastic systems in the presence of intermittent measurements ⋮ The maximum principle for partially observed optimal control problems of mean-field FBSDEs

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