文章基本信息

标题：Non-zero sum differential games of anticipated forward-backward stochastic differential delayed equations under partial information and application
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作者：Yi Zhuang
期刊名称：Advances in Difference Equations
印刷版ISSN：1687-1839
电子版ISSN：1687-1847
出版年度：2017
卷号：2017
期号：1
页码：383
DOI：10.1186/s13662-017-1438-1
语种：English
出版社：Hindawi Publishing Corporation
摘要：This paper is concerned with a non-zero sum differential game problem of an anticipated forward-backward stochastic differential delayed equation under partial information. We establish a maximum principle and a verification theorem for the Nash equilibrium point by virtue of the duality and convex variation approach. We study a linear-quadratic system under partial information and present an explicit form of the Nash equilibrium point. We derive the filtering equations and prove the existence and uniqueness for the Nash equilibrium point. As an application, we solve a time-delayed pension fund management problem with nonlinear expectation to measure the risk and obtain the explicit solution.
关键词：stochastic differential game ; maximum principle ; stochastic differential delayed equation ; linear-quadratic problem ; partial information ; g-expectation ; convex risk measure