Maximum Principle for Nonzero-Sum Stochastic Differential Game With Delays

被引：32

作者：

Chen, Li ^{[1
]}

Yu, Zhiyong ^{[2
]}

机构：

[1] China Univ Min & Technol, Dept Math, Beijing 100083, Peoples R China

[2] Shandong Univ, Sch Math, Jinan 250100, Peoples R China

来源：

IEEE TRANSACTIONS ON AUTOMATIC CONTROL | 2015年 / 60卷 / 05期

基金：

中国国家自然科学基金;

关键词：

Anticipated backward stochastic differential equation (ABSDE); maximum principle; nonzero-sum stochastic differential game; open-loop equilibrium point; stochastic differential delay equation (SDDE); EQUATIONS; BSDES;

D O I：

10.1109/TAC.2014.2352731

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

In this technical note, we discuss a nonzero-sum stochastic differential game with delays. Not only the state variable, but also control variables of players involve delays. This kind of games are motivated by some interesting problems arising from economics and finance. Using anticipated backward stochastic differential equations, we establish a necessary condition and a sufficient condition of maximum principle for the delayed game problem. To explain theoretical results, we apply them to an economic problem.

引用

页码：1422 / 1426

页数：5

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