A kind of LQ non-zero sum differential game of backward stochastic differential equation with asymmetric information
From MaRDI portal
Publication:1716549
DOI10.1016/J.AUTOMATICA.2018.08.019zbMath1420.91022OpenAlexW2891171846WikidataQ115360084 ScholiaQ115360084MaRDI QIDQ1716549
Guangchen Wang, Jie Xiong, Hua Xiao
Publication date: 5 February 2019
Published in: Automatica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.automatica.2018.08.019
asymmetric informationbackward stochastic differential equationfilterfeedback Nash equilibrium pointnon-zero sum differential game
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Differential games and control (49N70) 2-person games (91A05) Differential games (aspects of game theory) (91A23)
Related Items (18)
Zero-Sum Stackelberg Stochastic Linear-Quadratic Differential Games ⋮ Stackelberg stochastic differential game with asymmetric noisy observations ⋮ A kind of non-zero sum mixed differential game of backward stochastic differential equation ⋮ Asymmetric information in a capital accumulation differential game with spillover and learning effects ⋮ A BSDE approach to stochastic differential games involving impulse controls and HJBI equation ⋮ A kind of linear‐quadratic Pareto cooperative differential game with partial information ⋮ An asymmetric information non-zero sum differential game of mean-field backward stochastic differential equation with applications ⋮ Indefinite Backward Stochastic Linear-Quadratic Optimal Control Problems ⋮ A Stackelberg game of backward stochastic differential equations with applications ⋮ Linear quadratic optimal control problems of delayed backward stochastic differential equations ⋮ Linear quadratic control of backward stochastic differential equation with partial information ⋮ Partial information stochastic differential games for backward stochastic systems driven by Lévy processes ⋮ Backward stochastic optimal control with mixed deterministic controller and random controller and its applications in linear-quadratic control ⋮ Linear-quadratic non-zero sum differential game for mean-field stochastic systems with asymmetric information ⋮ A Stackelberg game of backward stochastic differential equations with partial information ⋮ Linear-quadratic optimal control for backward stochastic differential equations with random coefficients ⋮ Stochastic Linear Quadratic Stackelberg Differential Game with Overlapping Information ⋮ General indefinite backward stochastic linear-quadratic optimal control problems
Cites Work
- Unnamed Item
- A class of non-zero-sum stochastic differential investment and reinsurance games
- A BSDE approach to a risk-based optimal investment of an insurer
- Two-person zero-sum linear quadratic stochastic differential games by a Hilbert space method
- Leader-follower stochastic differential game with asymmetric information and applications
- A numerical scheme for BSDEs
- Linear quadratic nonzero sum differential games with asymmetric information
- Backward linear-quadratic stochastic optimal control and nonzero-sum differential game problem with random jumps
- A partial information non-zero sum differential game of backward stochastic differential equations with applications
- Forward-backward stochastic differential games and stochastic control under model uncertainty
- Linear-Quadratic Control of Backward Stochastic Differential Equations
- Numerical algorithms for backward stochastic differential equations with 1-d brownian motion: Convergence and simulations
- Nonzero sum linear–quadratic stochastic differential games and backward–forward equations
- Backward Stochastic Differential Equations in Finance
- A Leader-Follower Stochastic Linear Quadratic Differential Game
- A Pontryagin's Maximum Principle for Non-Zero Sum Differential Games of BSDEs with Applications
- A New Kind of Accurate Numerical Method for Backward Stochastic Differential Equations
- Differential games of partial information forward-backward doubly SDE and applications
- Linear−quadratic optimal control and nonzero‐sum differential game of forward−backward stochastic system
This page was built for publication: A kind of LQ non-zero sum differential game of backward stochastic differential equation with asymmetric information
