Linear quadratic nonzero sum differential games with asymmetric information
type: Item
instance of: scholarly article
title: Linear quadratic nonzero sum differential games with asymmetric information
zbMATH Open document ID: 1407.91053
DOI: 10.1155/2014/262314
author: Dejian Chang
author: Hua Xiao
published in: Mathematical Problems in Engineering
publication date: 2019-02-08T00:00:00Z
review text: Summary: This paper studies a linear quadratic nonzero sum differential game problem with asymmetric information. Compared with the existing literature, a distinct feature is that the information available to players is asymmetric. Nash equilibrium points are obtained for several classes of asymmetric information by stochastic maximum principle and technique of completion square. The systems of some Riccati equations and forward-backward stochastic filtering equations are introduced and the existence and uniqueness of the solutions are proved. Finally, the unique Nash equilibrium point for each class of asymmetric information is represented in a feedback form of the optimal filtering of the state, through the solutions of the Riccati equations.
Mathematics Subject Classification ID: 91A23
Mathematics Subject Classification ID: 49N70
Mathematics Subject Classification ID: 93E20
zbMATH DE Number: 7016023
Wikidata QID: Q59065199
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1155/2014/262314
OpenAlex ID: W2142433183
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description: scientific article; zbMATH DE number 7016023