标题:A PARTIALLY OBSERVED NON-ZERO SUM DIFFERENTIAL GAME OF FORWARD-BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS AND ITS APPLICATION IN FINANCE
作者:Xiong, Jie; Zhang, Shuaiqi; Zhuang, Yi
作者机构:[Xiong, Jie] Southern Univ Sci & Technol, Dept Math, Shenzhen, Peoples R China.; [Xiong, Jie] Univ Macau, Dept Math, Macau, Peoples R China.; [Zha 更多
通讯作者:Zhuang, Y;Zhuang, Y;Zhuang, Y
通讯作者地址:[Zhuang, Y]Guangdong Univ Technol, Sch Econ & Commerce, Guangzhou 510520, Guangdong, Peoples R China;[Zhuang, Y]China Wealth Asset Management Registry 更多
来源:MATHEMATICAL CONTROL AND RELATED FIELDS
出版年:2019
卷:9
期:2
页码:257-276
DOI:10.3934/mcrf.2019013
关键词:Forward-backward stochastic differential equation; stochastic; differential game; maximum principle; equilibrium point; stochastic; filtering
摘要:In this article, we study a class of partially observed non-zero sum stochastic differential game based on forward and backward stochastic differential equations (FBSDEs). It is required that each player has his own observation equation, and the corresponding Nash equilibrium control is required to be adapted to the filtration generated by the observation process. To find the Nash equilibrium point, we establish the maximum principle as a necessary condition and derive the verification theorem as a sufficient condition. Applying the theoretical results and stochastic filtering theory, we obtain the explicit investment strategy of a partial information financial problem.
收录类别:SCOPUS;SCIE
资源类型:期刊论文
原文链接:https://www.scopus.com/inward/record.uri?eid=2-s2.0-85064993941&doi=10.3934%2fMCRF.2019013&partnerID=40&md5=e19ac0749e5e1e9a7aa39b6ef2ca73b3
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