IDEAS home Printed from https://ideas.repec.org/a/hin/jnlmpe/561382.html
   My bibliography  Save this article

Nonzero Sum Differential Game of Mean-Field BSDEs with Jumps under Partial Information

Author

Listed:
  • Xiaolan Chen
  • Qingfeng Zhu

Abstract

This paper is concerned with a kind of nonzero sum differential game of mean-field backward stochastic differential equations with jump (MF-BSDEJ), in which the coefficient contains not only the state process but also its marginal distribution. Moreover, the cost functional is also of mean-field type. It is required that the control is adapted to a subfiltration of the filtration generated by the underlying Brownian motion and Poisson random measure. We establish a necessary condition in the form of maximum principle with Pontryagin’s type for open-loop Nash equilibrium point of this type of partial information game and then give a verification theorem which is a sufficient condition for Nash equilibrium point. The theoretical results are applied to study a partial information linear-quadratic (LQ) game.

Suggested Citation

  • Xiaolan Chen & Qingfeng Zhu, 2014. "Nonzero Sum Differential Game of Mean-Field BSDEs with Jumps under Partial Information," Mathematical Problems in Engineering, Hindawi, vol. 2014, pages 1-12, July.
    • Handle: RePEc:hin:jnlmpe:561382
    DOI: 10.1155/2014/561382
    as

    Download full text from publisher

    File URL: http://downloads.hindawi.com/journals/MPE/2014/561382.pdf
    Download Restriction: no
    File URL: http://downloads.hindawi.com/journals/MPE/2014/561382.xml
    Download Restriction: no
    File URL: https://libkey.io/10.1155/2014/561382?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hin:jnlmpe:561382. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Mohamed Abdelhakeem (email available below). General contact details of provider: https://www.hindawi.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.