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Published in: Dynamic Games and Applications 2/2022

03-11-2021

Maximum Principle for General Partial Information Nonzero Sum Stochastic Differential Games and Applications

Authors: Tianyang Nie, Falei Wang, Zhiyong Yu

Published in: Dynamic Games and Applications | Issue 2/2022

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Abstract

We study a general kind of partial information nonzero sum two-player stochastic differential games, where the state variable is governed by a stochastic differential equation and the control domain of each player can be non-convex. Moreover, the control variables of both players can enter the diffusion coefficients of the state equation. We establish Pontryagin’s maximum principle for open-loop Nash equilibria of the game. Then, a verification theorem is obtained for Nash equilibria when the control domain is convex. Finally, the theoretical results are applied to studying a linear-quadratic game.

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Metadata
Title
Maximum Principle for General Partial Information Nonzero Sum Stochastic Differential Games and Applications
Authors
Tianyang Nie
Falei Wang
Zhiyong Yu
Publication date
03-11-2021
Publisher
Springer US
Published in
Dynamic Games and Applications / Issue 2/2022
Print ISSN: 2153-0785
Electronic ISSN: 2153-0793
DOI
https://doi.org/10.1007/s13235-021-00402-2

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