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

zbMATH Keywords

maximum principlestochastic differential gameequilibrium pointforward-backward stochastic differential equationstochastic filtering

Mathematics Subject Classification ID

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)

Related Items (5)

A Probabilistic Method for a Class of Non-Lipschitz BSDEs with Application to Fund Management ⋮ Stability analysis of stochastic delay differential equations with Markovian switching driven by Lévy noise ⋮ A Stackelberg game of backward stochastic differential equations with partial information ⋮ A necessary condition for optimal control of forward-backward stochastic control system with Lévy process in nonconvex control domain case ⋮ Partially observed nonzero-sum differential game of BSDEs with delay and applications

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