Differential games of partial information forward-backward doubly SDE and applications â̂-

Chi Man Hui, Hua Xiao

Research output: Journal article publicationJournal articleAcademic researchpeer-review

8 Citations (Scopus)

Abstract

This paper addresses a new differential game problem with forward-backward doubly stochastic differential equations. There are two distinguishing features. One is that our game systems are initial coupled, rather than terminal coupled. The other is that the admissible control is required to be adapted to a subset of the information generated by the underlying Brownian motions. We establish a necessary condition and a sufficient condition for an equilibrium point of nonzero-sum games and a saddle point of zero-sum games. To illustrate some possible applications, an example of linear-quadratic nonzero-sum differential games is worked out. Applying stochastic filtering techniques, we obtain an explicit expression of the equilibrium point.
Original languageEnglish
Pages (from-to)78-94
Number of pages17
JournalESAIM - Control, Optimisation and Calculus of Variations
Volume20
Issue number1
DOIs
Publication statusPublished - 1 Jan 2014

Keywords

  • Equilibrium point
  • Forward-backward doubly stochastic differential equation
  • Partial information
  • Stochastic differential game
  • Stochastic filtering

ASJC Scopus subject areas

  • Control and Systems Engineering
  • Control and Optimization
  • Computational Mathematics

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