A nonzero sum differential game of BSDE with time-delayed generator and applications
A nonzero sum differential game of BSDE with time-delayed generator and applications
复制标题
具有时滞生成器的非零和微分博弈及其应用
DOI：
10.1109/tac.2015.2480335
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发表时间：
2016
影响因子：
6.8
通讯作者：
Guangchen Wang
中科院分区：
文献类型：
--
作者：
Jingtao Shi;Guangchen Wang
在这篇技术笔记中，研究了一个非零和微分对策，其中状态动态遵循一个带有时滞生成元的倒向随机微分方程。证明了开环平衡点的Arrow充分条件。作为充分性条件的应用，讨论了一个线性二次微分对策和一个具有时滞盈余的养老基金管理问题。
In this technical note, a nonzero sum differential game is studied, where the state dynamics follows a backward stochastic differential equation with time-delayed generator. An Arrow's sufficient condition for open-loop equilibrium point is proved. A linear-quadratic differential game and a pension fund management problem with time-delayed surplus are discussed as the applications of the sufficient optimality condition.