کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
697340 890366 2012 11 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
A partial information non-zero sum differential game of backward stochastic differential equations with applications
موضوعات مرتبط
مهندسی و علوم پایه سایر رشته های مهندسی کنترل و سیستم های مهندسی
پیش نمایش صفحه اول مقاله
A partial information non-zero sum differential game of backward stochastic differential equations with applications
چکیده انگلیسی

This paper is concerned with a new kind of non-zero sum differential game of backward stochastic differential equations (BSDEs). It is required that the control is adapted to a sub-filtration of the filtration generated by the underlying Brownian motion. 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 and a partial information financial problem.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Automatica - Volume 48, Issue 2, February 2012, Pages 342–352
نویسندگان
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