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arXiv · 1407.0430

A kind of linear quadratic non-zero sum differential game of backward stochastic differential equation with asymmetric information

Guangchen Wang·Hua Xiao·Jie Xiong
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Abstract

This paper focuses on a kind of linear quadratic non-zero sum differential game driven by backward stochastic differential equation with asymmetric information, which is a natural continuation of Wang and Yu [IEEE TAC (2010) 55: 1742-1747, Automatica (2012) 48: 342-352]. Different from Wang and Yu [IEEE TAC (2010) 55: 1742-1747, Automatica (2012) 48: 342-352], novel motivations for studying this kind of game are provided. Some feedback Nash equilibrium points are uniquely obtained by forward-backward stochastic differential equations, their filters and the corresponding Riccati equations with Markovian setting.

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Guangchen Wang, Hua Xiao, Jie Xiong. 2014-07-02. A kind of linear quadratic non-zero sum differential game of backward stochastic differential equation with asymmetric information. https://arxiv.org/abs/1407.0430

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