Maximum Principle for Partial Observed Zero-Sum Stochastic Differential Game of Mean-Field SDEs

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.

arXiv commentarXiv admin note: substantial text overlap with arXiv:1610.02587

References in corpus (3)

• Partially Observed Optimal Control for Mean-Field SDEs
• A partially observed non-zero sum differential game of forward-backward stochastic differential equations and its application in finance
• An optimal control problem for mean-field forward-backward stochastic differential equation with noisy observation