BSDE Approach for $α$-Potential Stochastic Differential Games
Fuente:
arXiv
Gespeichert in:
| Hauptverfasser: | , , |
|---|---|
| Format: | Preprint |
| Veröffentlicht: |
2025
|
| Schlagworte: | |
| Online-Zugang: | |
| Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
| _version_ | 1866911062104735744 |
|---|---|
| author | Guo, Xin Li, Xun Zhang, Liangquan |
| author_facet | Guo, Xin Li, Xun Zhang, Liangquan |
| contents | In this paper, we examine a class of $α$-potential stochastic differential games with random coefficients via the backward stochastic differential equations (BSDEs) approach. Specifically, we show that the first and second order linear derivatives of the objective function for each player can be expressed through the corresponding first and second-order adjoint equations, which leads to rigorous estimates for $α$. We illustrate the dependence of $α$ on game characteristics through detailed analysis of linear-quadratic games, and with common noise. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2507_13256 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | BSDE Approach for $α$-Potential Stochastic Differential Games Guo, Xin Li, Xun Zhang, Liangquan Optimization and Control Probability In this paper, we examine a class of $α$-potential stochastic differential games with random coefficients via the backward stochastic differential equations (BSDEs) approach. Specifically, we show that the first and second order linear derivatives of the objective function for each player can be expressed through the corresponding first and second-order adjoint equations, which leads to rigorous estimates for $α$. We illustrate the dependence of $α$ on game characteristics through detailed analysis of linear-quadratic games, and with common noise. |
| title | BSDE Approach for $α$-Potential Stochastic Differential Games |
| topic | Optimization and Control Probability |
| url | https://arxiv.org/abs/2507.13256 |