Differential games of partial information forward-backward doubly SDE and applications
DOI10.1051/COCV/2013055zbMATH Open1286.49043OpenAlexW2132019005MaRDI QIDQ5404529FDOQ5404529
Authors: Eddie C. M. Hui, Hua Xiao 
Publication date: 24 March 2014
Published in: ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1051/cocv/2013055
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partial informationstochastic filteringequilibrium pointstochastic differential gameforward-backward doubly stochastic differential equation
Filtering in stochastic control theory (93E11) Differential games and control (49N70) Optimal stochastic control (93E20)
Cited In (16)
- A partially observed non-zero sum differential game of forward-backward stochastic differential equations and its application in finance
- Partial information stochastic differential games for backward stochastic systems driven by Lévy processes
- Nonzero-sum differential game of backward doubly stochastic systems with delay and applications
- Stochastic non-cooperative differential game under incomplete state vector information
- Non-zero-sum differential games of delayed backward doubly stochastic systems and their application
- Linear-quadratic partially observed forward-backward stochastic differential games and its application in finance
- Necessary and sufficient optimality conditions for relaxed and strict control of forward-backward doubly SDEs with jumps under full and partial information
- Leader-follower stochastic differential game with asymmetric information and applications
- A partial information non-zero sum differential game of backward stochastic differential equations with applications
- Mean-field type forward-backward doubly stochastic differential equations and related stochastic differential games
- A SPDE maximum principle for stochastic differential games under partial information with application to optimal portfolios on fixed income markets
- Non-zero sum differential games of anticipated forward-backward stochastic differential delayed equations under partial information and application
- Non-zero sum differential games of backward stochastic differential delay equations under partial information
- A kind of LQ non-zero sum differential game of backward stochastic differential equation with asymmetric information
- Linear quadratic nonzero sum differential games with asymmetric information
- Nonzero sum differential game of mean-field BSDEs with jumps under partial information
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