A Partially Observed Nonzero‐Sum Stochastic Differential Game with Delays and its Application to Finance

DOI10.1002/asjc.1970zbMath1425.91053OpenAlexW2900750037WikidataQ128927034 ScholiaQ128927034MaRDI QIDQ5194914

Bixuan Yang, Tie-Xin Guo, Jin-biao Wu

Publication date: 17 September 2019

Published in: Asian Journal of Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asjc.1970

zbMATH Keywords

maximum principlestochastic differential gameverification theoremMalliavin derivativestochastic differential delay equation

Mathematics Subject Classification ID

Differential games (aspects of game theory) (91A23) Stochastic games, stochastic differential games (91A15) Stochastic calculus of variations and the Malliavin calculus (60H07) Actuarial science and mathematical finance (91G99)

Related Items (2)

Well-posedness and regularity of mean-field backward doubly stochastic Volterra integral equations and applications to dynamic risk measures ⋮ Partially observed nonzero-sum differential game of BSDEs with delay and applications

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