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      Linear Quadratic Non-Zero Sum Differential Games of Backward Stochastic Differential Equations with Asymmetric Information

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          Abstract

          This paper focuses on a linear quadratic non-zero sum differential game problem derived by backward stochastic differential equation with asymmetric information, which is a natural continuation of Wang and Yu [IEEE TAC (2010) 55: 1742-1747, Automatica (2012) 48: 342-352]. Different from Wang and Yu [IEEE TAC (2010) 55: 1742-1747, Automatica (2012) 48: 342-352], novel motivations for studying this kind of game are provided first. Then some feedback Nash equilibrium points are uniquely obtained by forward-backward stochastic differential equations, their filters and the corresponding Riccati equations.

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          Author and article information

          Journal
          2014-07-01
          2016-01-08
          Article
          1407.0430
          9d5c74ce-6efe-46ef-96cd-fae9722c0157

          http://arxiv.org/licenses/nonexclusive-distrib/1.0/

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          18 Pages
          math.OC

          Numerical methods
          Numerical methods

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