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Partial Information Stochastic Differential Games for Backward Stochastic Systems Driven by Lévy Processes

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  • Fu Zhang
  • QingXin Meng
  • MaoNing Tang

Abstract

In this paper, we consider a partial information two-person zero-sum stochastic differential game problem, where the system is governed by a backward stochastic differential equation driven by Teugels martingales and an independent Brownian motion. A sufficient condition and a necessary one for the existence of the saddle point for the game are proved. As an application, a linear quadratic stochastic differential game problem is discussed.

Suggested Citation

  • Fu Zhang & QingXin Meng & MaoNing Tang, 2020. "Partial Information Stochastic Differential Games for Backward Stochastic Systems Driven by Lévy Processes," Mathematical Problems in Engineering, Hindawi, vol. 2020, pages 1-7, September.
    • Handle: RePEc:hin:jnlmpe:8563790
    DOI: 10.1155/2020/8563790
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