Maximum Principle for Partial Observed Zero-Sum Stochastic Differential Game of Mean-Field SDEs

2016/11/14 by Maoning Tang, Qingxin Meng, Tang, Maoning +1
Economics, Econometrics and Finance · Social Sciences · #Climate Change Policy and Economics #FOS: Mathematics #Insurance, Mortality, Demography, Risk Management #Optimization and Control (math.OC) #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.1611.04291

openalex publication_date 2016/11/14 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

In this paper, we consider a partial observed two-person zero-sum stochastic differential game problem where the system is governed by a stochastic differential equation of mean-field type. Under standard assumptions on the coefficients, the maximum principles for optimal open-loop control in a strong sense as well as a weak one are established by the associated optimal control theory in Tang and Meng (2016). To illustrate the general results, a class of linear quadratic stochastic differential game problem is discussed and the existence and dual characterization for the partially observed open-loop saddle are obtained.

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