Nonzero sum differential game of mean-field BSDEs with jumps under partial information
type: Item
instance of: scholarly article
title: Nonzero sum differential game of mean-field BSDEs with jumps under partial information
zbMATH Open document ID: 1407.49057
DOI: 10.1155/2014/561382
author: Xiaolan Chen
author: Qingfeng Zhu
published in: Mathematical Problems in Engineering
publication date: 2019-02-08T00:00:00Z
review text: Summary: This paper is concerned with a kind of nonzero sum differential game of mean-field backward stochastic differential equations with jump (MF-BSDEJ), in which the coefficient contains not only the state process but also its marginal distribution. Moreover, the cost functional is also of mean-field type. It is required that the control is adapted to a subfiltration of the filtration generated by the underlying Brownian motion and Poisson random measure. We establish a necessary condition in the form of maximum principle with Pontryagin's type for open-loop Nash equilibrium point of this type of partial information game and then give a verification theorem which is a sufficient condition for Nash equilibrium point. The theoretical results are applied to study a partial information linear-quadratic (LQ) game.
Mathematics Subject Classification ID: 49N70
Mathematics Subject Classification ID: 91A23
Mathematics Subject Classification ID: 93E20
zbMATH DE Number: 7016730
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1155/2014/561382
OpenAlex ID: W2159081131
Wikidata QID: Q59065976
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description: scientific article; zbMATH DE number 7016730