| 引用本文: | 杨碧璇,郭铁信,吴锦标.基于g-期望的部分可观测非零和随机微分博弈(英文)[J].控制理论与应用,2019,36(1):13~21.[点击复制] |
| YANG Bi-xuan,GUO Tie-xin,WU Jin-biao.Partially observed nonzero-sum stochastic differential games with g-expectations[J].Control Theory and Technology,2019,36(1):13~21.[点击复制] |
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| 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 |
| 摘要点击 2551 全文点击 1301 |
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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. |
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| 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. |