Nash Equilibrium of Stochastic Partial Differential Game with Partial Information via Malliavin Calculus

Gaofeng Zong and Hassan Zargarzadeh

Complexity, 2023, vol. 2023, 1-29

Abstract: In this article, we consider the Nash equilibrium of stochastic differential game where the state process is governed by a controlled stochastic partial differential equation and the information available to the controllers is possibly less than the general information. All the system coefficients and the objective performance functionals are assumed to be random. We find an explicit strong solution of the linear stochastic partial differential equation with a generalized probabilistic representation for this solution with the benefit of Kunita’s stochastic flow theory. We use Malliavin calculus to derive a stochastic maximum principle for the optimal control and obtain the Nash equilibrium of this type of stochastic differential game problem.

Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:hin:complx:8803764

DOI: 10.1155/2023/8803764

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