Partial Information Stochastic Differential Games for Backward Stochastic Systems Driven By Lévy Processes

2017/08/13 by Zhang, Fu, Meng, Qingxin, Tang, Maoning
#FOS: Mathematics #Optimization and Control (math.OC)

paper · doi:10.48550/arxiv.1708.03899

Abstract

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 associated with a Lévy process and an independent Brownian motion. One sufficient (a verification theorem) and one necessary conditions for the existence of optimal controls are proved. To illustrate the general results, a linear quadratic stochastic differential game problem is discussed.

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