A Partially Observed Nonzero‐Sum Stochastic Differential Game with Delays and its Application to Finance

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 un...

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Veröffentlicht in:	Asian journal of control 2019-03, Vol.21 (2), p.977-988
Hauptverfasser:	Yang, Bixuan, Guo, Tiexin, Wu, Jinbiao
Format:	Artikel
Sprache:	eng
Schlagworte:	Differential equations Differential games Economic models Game theory Malliavin derivative Mathematical analysis Maximum principle State variable stochastic differential delay equation Stochastic differential game Theorems verification theorem
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