Nonzero Sum Differential Game of Mean-Field BSDEs with Jumps under Partial Information

Xiaolan Chen and Qingfeng Zhu

Mathematical Problems in Engineering, 2014, vol. 2014, 1-12

Abstract:

This paper is concerned with a kind of nonzero sum differential game of mean-field backward stochastic differential equations with jump (MF-BSDEJ), in which the coefficient contains not only the state process but also its marginal distribution. Moreover, the cost functional is also of mean-field type. It is required that the control is adapted to a subfiltration of the filtration generated by the underlying Brownian motion and Poisson random measure. We establish a necessary condition in the form of maximum principle with Pontryagin’s type for open-loop Nash equilibrium point of this type of partial information game and then give a verification theorem which is a sufficient condition for Nash equilibrium point. The theoretical results are applied to study a partial information linear-quadratic (LQ) game.

Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlmpe:561382

DOI: 10.1155/2014/561382

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