Characterization of LQG differential games with different information patterns

2004 ◽  
Author(s):  
A. Swarup ◽  
J.L. Speyer
Keyword(s):  
Differential Games ◽  
Information Patterns

Nash Equilibrium Payoffs for Stochastic Differential Games with two Reflecting Barriers

2015 ◽  
Vol 47 (02) ◽  
pp. 355-377
Author(s):  
Qian Lin
Keyword(s):  
Nash Equilibrium ◽  
Differential Equations ◽  
Stochastic Differential Equations ◽  
Differential Games ◽  
Backward Stochastic Differential Equations ◽  
Stochastic Differential Games ◽  
Cost Functionals ◽  
Reflecting Barriers

In this paper we study Nash equilibrium payoffs for nonzero-sum stochastic differential games with two reflecting barriers. We obtain an existence and a characterization of Nash equilibrium payoffs for nonzero-sum stochastic differential games with nonlinear cost functionals defined by doubly controlled reflected backward stochastic differential equations with two reflecting barriers.

scholarly journals Stochastic differential games with inside information

2016 ◽  
Vol 19 (03) ◽  
pp. 1650016 ◽  
Author(s):  
Olfa Draouil ◽  
Bernt Øksendal
Keyword(s):  
White Noise ◽  
Differential Games ◽  
Malliavin Calculus ◽  
Model Uncertainty ◽  
Nash Equilibria ◽  
Stochastic Calculus ◽  
Stochastic Differential Games ◽  
Inside Information ◽  
Jump Diffusions

We study stochastic differential games of jump diffusions, where the players have access to inside information. Our approach is based on anticipative stochastic calculus, white noise, Hida–Malliavin calculus, forward integrals and the Donsker delta functional. We obtain a characterization of Nash equilibria of such games in terms of the corresponding Hamiltonians. This is used to study applications to insider games in finance, specifically optimal insider consumption and optimal insider portfolio under model uncertainty.

Nash Equilibrium Payoffs for Stochastic Differential Games with two Reflecting Barriers

2015 ◽  
Vol 47 (2) ◽  
pp. 355-377 ◽  
Author(s):  
Qian Lin
Keyword(s):  
Nash Equilibrium ◽  
Differential Equations ◽  
Stochastic Differential Equations ◽  
Differential Games ◽  
Backward Stochastic Differential Equations ◽  
Stochastic Differential Games ◽  
Cost Functionals ◽  
Reflecting Barriers

In this paper we study Nash equilibrium payoffs for nonzero-sum stochastic differential games with two reflecting barriers. We obtain an existence and a characterization of Nash equilibrium payoffs for nonzero-sum stochastic differential games with nonlinear cost functionals defined by doubly controlled reflected backward stochastic differential equations with two reflecting barriers.

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