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

作　　者：杨碧璇 郭铁信[1] 吴锦标[1] YANG Bi-xuan;GUO Tie-xin;WU Jin-biaoy(School of Mathematics and Statistics,Central South University,Changsha Hunan 410083,China)

机构地区：[1]中南大学数学与统计学院,湖南长沙410083

出　　处：《控制理论与应用》2019年第1期13-21,共9页Control Theory & Applications

基　　金：Supported by the National Natural Science Foundation of China(11671404,11571369);the Provincial Natural Science Foundation of Hunan(2017JJ3405);the Yu Ying Project of Central South University

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?-Lévy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.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.

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 

分 类 号：O211[理学—概率论与数理统计]