南方科技大学知识苑(SUSTech KC): A PARTIALLY OBSERVED NON-ZERO SUM DIFFERENTIAL GAME OF FORWARD-BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS AND ITS APPLICATION IN FINANCE

题名	A PARTIALLY OBSERVED NON-ZERO SUM DIFFERENTIAL GAME OF FORWARD-BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS AND ITS APPLICATION IN FINANCE
作者	Xiong, Jie1,2 ; Zhang, Shuaiqi 3,4,5; Zhuang, Yi 3,4,5
通讯作者	Zhuang, Yi
发表日期	2019-06
DOI	10.3934/mcrf.2019013
发表期刊	Mathematical Control and Related Fields 影响因子和分区
ISSN	2156-8472
EISSN	2156-8499
卷号	9 期号:2页码:257-276
摘要	In this article, we study a class of partially observed non-zero sum stochastic differential game based on forward and backward stochastic differential equations (FBSDEs). It is required that each player has his own observation equation, and the corresponding Nash equilibrium control is required to be adapted to the filtration generated by the observation process. To find the Nash equilibrium point, we establish the maximum principle as a necessary condition and derive the verification theorem as a sufficient condition. Applying the theoretical results and stochastic filtering theory, we obtain the explicit investment strategy of a partial information financial problem.
关键词	Forward-backward stochastic differential equation stochastic differential game maximum principle equilibrium point stochastic filtering
相关链接	[来源记录]
收录类别	SCI
语种	英语
学校署名	第一
资助项目	National Science Foundation of China[11501129]
WOS研究方向	Mathematics
WOS类目	Mathematics, Applied ; Mathematics
WOS记录号	WOS:000459761600002
出版者	AMER INST MATHEMATICAL SCIENCES-AIMS
来源库	Web of Science
引用统计	被引频次[WOS]：8
成果类型	期刊论文
条目标识符	http://sustech.caswiz.com/handle/2SGJ60CL/25831
专题	理学院_数学系工学院_材料科学与工程系
作者单位	1.Southern Univ Sci & Technol, Dept Math, Shenzhen, Peoples R China 2.Univ Macau, Dept Math, Macau, Peoples R China 3.Guangdong Univ Technol, Sch Econ & Commerce, Guangzhou 510520, Guangdong, Peoples R China 4.China Wealth Asset Management Registry & Custody, Beijing 100045, Peoples R China 5.Shandong Univ, Sch Math, Jinan 250100, Shandong, Peoples R China
第一作者单位	数学系
第一作者的第一单位	数学系
推荐引用方式 GB/T 7714	Xiong, Jie,Zhang, Shuaiqi,Zhuang, Yi. A PARTIALLY OBSERVED NON-ZERO SUM DIFFERENTIAL GAME OF FORWARD-BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS AND ITS APPLICATION IN FINANCE[J]. Mathematical Control and Related Fields,2019,9(2):257-276.
APA	Xiong, Jie,Zhang, Shuaiqi,&Zhuang, Yi.(2019).A PARTIALLY OBSERVED NON-ZERO SUM DIFFERENTIAL GAME OF FORWARD-BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS AND ITS APPLICATION IN FINANCE.Mathematical Control and Related Fields,9(2),257-276.
MLA	Xiong, Jie,et al."A PARTIALLY OBSERVED NON-ZERO SUM DIFFERENTIAL GAME OF FORWARD-BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS AND ITS APPLICATION IN FINANCE".Mathematical Control and Related Fields 9.2(2019):257-276.