A Maximum Principle for Stochastic Differential Games with g–expectations and partial information
نویسندگان
چکیده
In this paper, we initiate a study on optimal control problem for stochastic differential games under generalized expectation via backward stochastic differential equations and partial information. We first prove a sufficient maximum principle for zero-sum stochastic differential game problem. And then extend our approach to general stochastic differential games (nonzero–sum games), and obtain an equilibrium point of such game. Finally we give some examples of applications.
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