Linear-Quadratic Zero-Sum Stochastic Differential Game with Partial Observation
Year: 2025
Type: preprint
Abstract: This paper is concerned with a kind of linear-quadratic (LQ, for short) two-person zero-sum stochastic differential game problems with partial observation. We propose the notions of explicit and implicit feedback laws under partial observation. With the help of a class of conditional mean-field stochastic differential equations (CMF-SDEs, for short), the separation principle, filtering techniques, and the method of completion of squares, we construct a saddle point in the form of feedback laws for the two players. Finally, the theoretical results are applied to investigate a duopoly competition problem with partial observation.
Source: arXiv (Cornell University)
Authors: Yu, Zhiyong, Yue, Wanying
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W7102406330
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