A linear-quadratic partially observed Stackelberg stochastic differential game with application

2021 ◽  
pp. 126819
Author(s):  
Yueyang Zheng ◽  
Jingtao Shi
Keyword(s):  
Differential Game ◽  
Stochastic Differential Game ◽  
Linear Quadratic ◽  
Partially Observed

scholarly journals Partial Information Stochastic Differential Games for Backward Stochastic Systems Driven by Lévy Processes

2020 ◽  
Vol 2020 ◽  
pp. 1-7
Author(s):  
Fu Zhang ◽  
QingXin Meng ◽  
MaoNing Tang
Keyword(s):  
Differential Game ◽  
Stochastic Systems ◽  
Partial Information ◽  
Backward Stochastic Differential Equation ◽  
Game Problem ◽  
Stochastic Differential Game ◽  
Linear Quadratic ◽  
Independent Brownian Motion ◽  
Teugels Martingales ◽  
Zero Sum

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.

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