Stochastic Differential Games in a Non-Markovian Setting
From MaRDI portal
Publication:5317092
DOI10.1137/S0363012902417632zbMATH Open1102.91012arXivcs/0501052MaRDI QIDQ5317092FDOQ5317092
Authors: Erhan Bayraktar, H. Vincent Poor 
Publication date: 15 September 2005
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Abstract: Stochastic differential games are considered in a non-Markovian setting. Typically, in stochastic differential games the modulating process of the diffusion equation describing the state flow is taken to be Markovian. Then Nash equilibria or other types of solution such as Pareto equilibria are constructed using Hamilton-Jacobi-Bellman (HJB) equations. But in a non-Markovian setting the HJB method is not applicable. To examine the non-Markovian case, this paper considers the situation in which the modulating process is a fractional Brownian motion. Fractional noise calculus is used for such models to find the Nash equilibria explicitly. Although fractional Brownian motion is taken as the modulating process because of its versatility in modeling in the fields of finance and networks, the approach in this paper has the merit of being applicable to more general Gaussian stochastic differential games with only slight conceptual modifications. This work has applications in finance to stock price modeling which incorporates the effect of institutional investors, and to stochastic differential portfolio games in markets in which the stock prices follow diffusions modulated with fractional Brownian motion.
Full work available at URL: https://arxiv.org/abs/cs/0501052
Recommendations
- Linear-quadratic stochastic differential games with general noise processes
- Some linear-quadratic stochastic differential games driven by state dependent Gauss-Volterra processes
- Some linear-quadratic stochastic differential games for equations in Hilbert spaces with fractional Brownian motions
- Fractional stochastic integration and Black–Scholes equation for fractional Brownian model with stochastic volatility
- FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
- Abstract McKean-Vlasov and Hamilton-Jacobi-Bellman equations, their fractional versions and related forward-backward systems on Riemannian manifolds
- scientific article; zbMATH DE number 956703
- Approximate solution for some stochastic differential equations involving both Gaussian and Poissonian white noises
- Actuarial approach to option pricing in a fractional Black-Scholes model with time-dependent volatility
Gaussian processes (60G15) Differential games (aspects of game theory) (91A23) White noise theory (60H40) Stochastic games, stochastic differential games (91A15) Self-similar stochastic processes (60G18)
Cited In (15)
- Some linear-quadratic stochastic differential games for equations in Hilbert spaces with fractional Brownian motions
- A stochastic differential game for the inhomogeneous \(\infty \)-Laplace equation
- Stochastic nonlinear minimax dynamic games with noisy measurements
- New optimality conditions for average-payoff continuous-time Markov games in Polish spaces
- ARBITRAGE IN FRACTAL MODULATED BLACK–SCHOLES MODELS WHEN THE VOLATILITY IS STOCHASTIC
- Stochastic optimal control to a nonlinear differential game
- Prediction and tracking of long-range-dependent sequences
- Stochastic differential games: the potential approach
- Characterization of Markovian equilibria in a class of differential games
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Infinite horizon linear quadratic stochastic Nash differential games of Markov jump linear systems with its application
- Title not available (Why is that?)
- Title not available (Why is that?)
This page was built for publication: Stochastic Differential Games in a Non-Markovian Setting
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5317092)
