Maximum Principle for Partial Observed Zero-Sum Stochastic Differential Game of Mean-Field SDEs
Optimization and Control
2016-11-15 v1
Abstract
In this paper, we consider a partial observed two-person zero-sum stochastic differential game problem where the system is governed by a stochastic differential equation of mean-field type. Under standard assumptions on the coefficients, the maximum principles for optimal open-loop control in a strong sense as well as a weak one are established by the associated optimal control theory in Tang and Meng (2016). To illustrate the general results, a class of linear quadratic stochastic differential game problem is discussed and the existence and dual characterization for the partially observed open-loop saddle are obtained.
Keywords
Cite
@article{arxiv.1611.04291,
title = {Maximum Principle for Partial Observed Zero-Sum Stochastic Differential Game of Mean-Field SDEs},
author = {Maoning Tang and Qingxin Meng},
journal= {arXiv preprint arXiv:1611.04291},
year = {2016}
}
Comments
arXiv admin note: substantial text overlap with arXiv:1610.02587