A kind of linear quadratic non-zero sum differential game of backward stochastic differential equation with asymmetric information

2014/07/02 by Wang, Guangchen, Xiao, Hua, Xiong, Jie
#FOS: Mathematics #Optimization and Control (math.OC)

paper · doi:10.48550/arxiv.1407.0430

Abstract

This paper focuses on a kind of linear quadratic non-zero sum differential game driven by backward stochastic differential equation with asymmetric information, which is a natural continuation of Wang and Yu [IEEE TAC (2010) 55: 1742-1747, Automatica (2012) 48: 342-352]. Different from Wang and Yu [IEEE TAC (2010) 55: 1742-1747, Automatica (2012) 48: 342-352], novel motivations for studying this kind of game are provided. Some feedback Nash equilibrium points are uniquely obtained by forward-backward stochastic differential equations, their filters and the corresponding Riccati equations with Markovian setting.

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