A kind of LQ non-zero sum differential game of backward stochastic differential equation with asymmetric information
type: Item
instance of: scholarly article
title: A kind of LQ non-zero sum differential game of backward stochastic differential equation with asymmetric information
zbMATH Open document ID: 1420.91022
author: Guangchen Wang
author: Hua Xiao
author: Jie Xiong
published in: Automatica
publication date: 2019-02-05T00:00:00Z
Mathematics Subject Classification ID: 91A23
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 49N70
Mathematics Subject Classification ID: 91A05
zbMATH DE Number: 7012180
zbMATH Keywords: asymmetric information
zbMATH Keywords: backward stochastic differential equation
zbMATH Keywords: feedback Nash equilibrium point
zbMATH Keywords: filter
zbMATH Keywords: non-zero sum differential game
MaRDI profile type: Publication
full work available at URL: j.automatica.2018.08.019
OpenAlex ID: W2891171846
Wikidata QID: Q115360084
cites work: A class of non-zero-sum stochastic differential investment and reinsurance games
cites work: Linear quadratic nonzero sum differential games with asymmetric information
cites work: Backward Stochastic Differential Equations in Finance
cites work: A BSDE approach to a risk-based optimal investment of an insurer
cites work: Nonzero sum linear–quadratic stochastic differential games and backward–forward equations
cites work: Differential games of partial information forward-backward doubly SDE and applications
cites work: Linear-quadratic control of backward stochastic differential equations
cites work: Two-person zero-sum linear quadratic stochastic differential games by a Hilbert space method
cites work: Forward-backward stochastic differential games and stochastic control under model uncertainty
cites work: Numerical algorithms for backward stochastic differential equations with 1-d Brownian motion: convergence and simulations
cites work: Leader-follower stochastic differential game with asymmetric information and applications
cites work: A Pontryagin's Maximum Principle for Non-Zero Sum Differential Games of BSDEs with Applications
cites work: A partial information non-zero sum differential game of backward stochastic differential equations with applications
cites work: Q3503154
cites work: A Leader-Follower Stochastic Linear Quadratic Differential Game
cites work: Linear−quadratic optimal control and nonzero‐sum differential game of forward−backward stochastic system
cites work: A numerical scheme for BSDEs
cites work: Backward linear-quadratic stochastic optimal control and nonzero-sum differential game problem with random jumps
cites work: A New Kind of Accurate Numerical Method for Backward Stochastic Differential Equations
DOI: 10.1016/J.AUTOMATICA.2018.08.019
description: scientific article; zbMATH DE number 7012180