Partial Information Stochastic Differential Games for Backward Stochastic Systems Driven by Lévy Processes
In this paper, we consider a partial information two-person zero-sum stochastic differential game problem, where the system is governed by a backward stochastic differential equation driven by Teugels martingales and an independent Brownian motion. A sufficient condition and a necessary one for the...
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| Format: | Article |
| Language: | English |
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Hindawi Limited
2020-01-01
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| Series: | Mathematical Problems in Engineering |
| Online Access: | http://dx.doi.org/10.1155/2020/8563790 |
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doaj-8be28812523d4a0a9bd1bd0772d559932020-11-25T03:18:55ZengHindawi LimitedMathematical Problems in Engineering1024-123X1563-51472020-01-01202010.1155/2020/85637908563790Partial Information Stochastic Differential Games for Backward Stochastic Systems Driven by Lévy ProcessesFu Zhang0QingXin Meng1MaoNing Tang2College of Science, University of Shanghai for Science and Technology, Shanghai 200433, ChinaDepartment of Mathematics, Huzhou University, Zhejiang 313000, ChinaDepartment of Mathematics, Huzhou University, Zhejiang 313000, ChinaIn this paper, we consider a partial information two-person zero-sum stochastic differential game problem, where the system is governed by a backward stochastic differential equation driven by Teugels martingales and an independent Brownian motion. A sufficient condition and a necessary one for the existence of the saddle point for the game are proved. As an application, a linear quadratic stochastic differential game problem is discussed.http://dx.doi.org/10.1155/2020/8563790 |
| collection |
DOAJ |
| language |
English |
| format |
Article |
| sources |
DOAJ |
| author |
Fu Zhang QingXin Meng MaoNing Tang |
| spellingShingle |
Fu Zhang QingXin Meng MaoNing Tang Partial Information Stochastic Differential Games for Backward Stochastic Systems Driven by Lévy Processes Mathematical Problems in Engineering |
| author_facet |
Fu Zhang QingXin Meng MaoNing Tang |
| author_sort |
Fu Zhang |
| title |
Partial Information Stochastic Differential Games for Backward Stochastic Systems Driven by Lévy Processes |
| title_short |
Partial Information Stochastic Differential Games for Backward Stochastic Systems Driven by Lévy Processes |
| title_full |
Partial Information Stochastic Differential Games for Backward Stochastic Systems Driven by Lévy Processes |
| title_fullStr |
Partial Information Stochastic Differential Games for Backward Stochastic Systems Driven by Lévy Processes |
| title_full_unstemmed |
Partial Information Stochastic Differential Games for Backward Stochastic Systems Driven by Lévy Processes |
| title_sort |
partial information stochastic differential games for backward stochastic systems driven by lévy processes |
| publisher |
Hindawi Limited |
| series |
Mathematical Problems in Engineering |
| issn |
1024-123X 1563-5147 |
| publishDate |
2020-01-01 |
| description |
In this paper, we consider a partial information two-person zero-sum stochastic differential game problem, where the system is governed by a backward stochastic differential equation driven by Teugels martingales and an independent Brownian motion. A sufficient condition and a necessary one for the existence of the saddle point for the game are proved. As an application, a linear quadratic stochastic differential game problem is discussed. |
| url |
http://dx.doi.org/10.1155/2020/8563790 |
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AT fuzhang partialinformationstochasticdifferentialgamesforbackwardstochasticsystemsdrivenbylevyprocesses AT qingxinmeng partialinformationstochasticdifferentialgamesforbackwardstochasticsystemsdrivenbylevyprocesses AT maoningtang partialinformationstochasticdifferentialgamesforbackwardstochasticsystemsdrivenbylevyprocesses |
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1715250161713676288 |