A Partially Observed Nonzero‐Sum Stochastic Differential Game with Delays and its Application to Finance
A Partially Observed Nonzero‐Sum Stochastic Differential Game with Delays and its Application to Finance
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DOI：
10.1002/asjc.1970
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发表时间：
2018-11
影响因子：
2.4
通讯作者：
Bixuan Yang;T. Guo;Jinbiao Wu
中科院分区：
文献类型：
--
作者：
Bixuan Yang;T. Guo;Jinbiao Wu
In this paper, we deal with a new kind of partially observed nonzero‐sum differential game governed by stochastic differential delay equations. One of the special features is that the controlled system and the utility functionals involve both delays in the state variable and the control variables under different observation equations for each player. We obtain a maximum principle and a verification theorem for the game problem by virtue of Girsanov's theorem and the convex variational method. In addition, based on the theoretical results and Malliavin derivative techniques, we solve a production and consumption choice game problem.
