A partially observed non-zero sum differential game of forward-backward stochastic differential equations and its application in finance
DOI10.3934/mcrf.2019013zbMath1426.49041arXiv1601.00538OpenAlexW2962927879MaRDI QIDQ2329687
Yi Zhuang, Jie Xiong, Shuaiqi Zhang
Publication date: 18 October 2019
Published in: Mathematical Control and Related Fields (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1601.00538
maximum principlestochastic differential gameequilibrium pointforward-backward stochastic differential equationstochastic filtering
Filtering in stochastic control theory (93E11) Control/observation systems governed by partial differential equations (93C20) Differential games and control (49N70) Applications of optimal control and differential games (49N90) Differential games (aspects of game theory) (91A23) Optimal stochastic control (93E20) Stochastic games, stochastic differential games (91A15)
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