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

Fu Zhang, QingXin Meng and MaoNing Tang

Mathematical Problems in Engineering, 2020, vol. 2020, 1-7

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 and an independent Brownian motion. A sufficient condition and a necessary one for the existence of the saddle point for the game are proved. As an application, a linear quadratic stochastic differential game problem is discussed.

Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlmpe:8563790

DOI: 10.1155/2020/8563790

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