基于g-期望的部分可观测非零和随机微分博弈(英文)
Partially observed nonzero-sum stochastic differential games with g-expectations
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DOI编号  10.7641/CTA.2018.18085
  2019,36(1):13-21
中文关键词  随机微分博弈  g-期望  正倒向随机微分方程  最大值原理  验证定理
英文关键词  stochastic differential game  g-expectation  forward-backward stochastic differential equation  maximum principle  verification theorem
基金项目  Supported by the National Natural Science Foundation of China (11671404, 11571369), the Provincial Natural Science Foundation of Hunan (2017JJ 3405) and the Yu Ying Project of Central South University.
学科分类代码  
作者单位
杨碧璇 中南大学 
郭铁信 中南大学 
吴锦标 中南大学 
中文摘要
      本文研究了g-期望下的部分可观测非零和随机微分博弈系统, 该系统的状态方程由It?o-L′evy过程驱动, 成本函 数由g-期望描述. 根据Girsanov定理和凸变分技巧, 本文得到了最大值原理和验证定理. 为对所获结果进行说明, 本文讨 论了关于资产负债管理的博弈问题.
英文摘要
      This paper is concerned with a partially observed nonzero-sum stochastic differential game system under g-expectation, where the state is governed by a It?o-L′evy process and the cost functionals are described by g-expectations. Based on Girsanov’s theorem and convex variation techniques, we derive a maximum principle and a verification theorem. An asset-liability management game problem is discussed to illustrate the results.