Maximum Principle for Non-Zero Sum Stochastic Differential Game with Discrete and Distributed Delays  

作　　者：ZHANG Qixia 

机构地区：[1]School of Mathematical Sciences,University of Jinan,Jinan 250022,China

出　　处：《Journal of Systems Science & Complexity》2021年第2期572-587,共16页系统科学与复杂性学报（英文版）

基　　金：the National Natural Science Foundation of China under Grant No.11701214;Shandong Provincial Natural Science Foundation;China under Grant No.ZR2019MA045。

摘　　要：This technical note is concerned with the maximum principle for a non-zero sum stochastic differential game with discrete and distributed delays.Not only the state variable,but also control variables of players involve discrete and distributed delays.By virtue of the duality method and the generalized anticipated backward stochastic differential equations,the author establishes a necessary maximum principle and a sufficient verification theorem.To explain theoretical results,the author applies them to a dynamic advertising game problem.

关 键 词：Distributed delay generalized anticipated backward stochastic differential equations maximum principle Nash equilibrium point non-zero sum stochastic differential game 

分 类 号：O211.63[理学—概率论与数理统计] O225[理学—数学]