Characterization of LQG differential games with different information patterns

Author(s):  
A. Swarup ◽  
J.L. Speyer
2015 ◽  
Vol 47 (02) ◽  
pp. 355-377
Author(s):  
Qian Lin

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.


Author(s):  
Olfa Draouil ◽  
Bernt Øksendal

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.


2015 ◽  
Vol 47 (2) ◽  
pp. 355-377 ◽  
Author(s):  
Qian Lin

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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