Maximum principle for mean-field zero-sum stochastic differential game with partial information and its application to finance

2017 ◽  
Vol 37 ◽  
pp. 8-15 ◽  
Author(s):  
Jinbiao Wu ◽  
Zaiming Liu
Keyword(s):  
Maximum Principle ◽  
Differential Game ◽  
Partial Information ◽  
Mean Field ◽  
Stochastic Differential Game ◽  
Zero Sum

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.

scholarly journals Optimal Control and Zero-Sum Stochastic Differential Game Problems of Mean-Field Type

2018 ◽  
Vol 81 (3) ◽  
pp. 933-960 ◽  
Author(s):  
Boualem Djehiche ◽  
Said Hamadène
Keyword(s):  
Optimal Control ◽  
Differential Game ◽  
Mean Field ◽  
Stochastic Differential Game ◽  
Field Type ◽  
Zero Sum

On Mean-Field Partial Information Maximum Principle of Optimal Control for Stochastic Systems with Lévy Processes

2015 ◽  
Vol 167 (3) ◽  
pp. 1051-1069 ◽  
Author(s):  
Mokhtar Hafayed ◽  
Syed Abbas ◽  
Abdelmadjid Abba
Keyword(s):  
Optimal Control ◽  
Maximum Principle ◽  
Lévy Processes ◽  
Stochastic Systems ◽  
Partial Information ◽  
Mean Field ◽  
Levy Processes

Stochastic Maximum Principle for Mean-Field Type Optimal Control Under Partial Information

2014 ◽  
Vol 59 (2) ◽  
pp. 522-528 ◽  
Author(s):  
Guangchen Wang ◽  
Chenghui Zhang ◽  
Weihai Zhang
Keyword(s):  
Optimal Control ◽  
Maximum Principle ◽  
Partial Information ◽  
Mean Field ◽  
Stochastic Maximum Principle ◽  
Field Type
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