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A Nonzero Sum Differential Game of BSDE With Time-Delayed Generator and Applications
- Source :
- IEEE Transactions on Automatic Control. 61:1959-1964
- Publication Year :
- 2016
- Publisher :
- Institute of Electrical and Electronics Engineers (IEEE), 2016.
-
Abstract
- In this technical note, a nonzero sum differential game is studied, where the state dynamics follows a backward stochastic differential equation with time-delayed generator. An Arrow's sufficient condition for open-loop equilibrium point is proved. A linear-quadratic differential game and a pension fund management problem with time-delayed surplus are discussed as the applications of the sufficient optimality condition.
- Subjects :
- Equilibrium point
Computer Science::Computer Science and Game Theory
0209 industrial biotechnology
Mathematical optimization
Differential equation
Exact differential equation
02 engineering and technology
Computer Science Applications
Integrating factor
Stochastic partial differential equation
Stochastic differential equation
020901 industrial engineering & automation
Control and Systems Engineering
ComputingMethodologies_SYMBOLICANDALGEBRAICMANIPULATION
Differential game
0202 electrical engineering, electronic engineering, information engineering
Applied mathematics
020201 artificial intelligence & image processing
Electrical and Electronic Engineering
Universal differential equation
Mathematics
Subjects
Details
- ISSN :
- 23343303 and 00189286
- Volume :
- 61
- Database :
- OpenAIRE
- Journal :
- IEEE Transactions on Automatic Control
- Accession number :
- edsair.doi...........a3f67cf446e209efcafaf85c503689a6
- Full Text :
- https://doi.org/10.1109/tac.2015.2480335