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arXiv · 1708.03899

Partial Information Stochastic Differential Games for Backward Stochastic Systems Driven By L\'{e}vy Processes

Fu Zhang·Qingxin Meng·Maoning Tang
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Abstract

In this paper, we consider a partial information two-person zero-sum stochastic differential game problem where the system is governed by a backward stochastic differential equation driven by Teugels martingales associated with a L\'{e}vy process and an independent Brownian motion. One sufficient (a verification theorem) and one necessary conditions for the existence of optimal controls are proved. To illustrate the general results, a linear quadratic stochastic differential game problem is discussed.

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Fu Zhang, Qingxin Meng, Maoning Tang. 2017-08-13. Partial Information Stochastic Differential Games for Backward Stochastic Systems Driven By L\'{e}vy Processes. https://arxiv.org/abs/1708.03899

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