Linear-Quadratic Non-zero Sum Differential Game with Asymmetric Delayed Information
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arXiv
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| Autori principali: | , |
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| Natura: | Preprint |
| Pubblicazione: |
2025
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| _version_ | 1866909867305861120 |
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| author | Ye, Yuxin Shi, Jingtao |
| author_facet | Ye, Yuxin Shi, Jingtao |
| contents | This paper is concerned with a linear-quadratic non-zero sum differential game with asymmetric delayed information. To be specific, two players exist time delays simultaneously which are different, leading the dynamical system being an asymmetric information structure. By virtue of stochastic maximum principle, the stochastic Hamiltonian system is given which is a delayed forward-backward stochastic differential equation. Utilizing discretisation approach and backward iteration technique, we establish the relationship between forward and backward processes under asymmetric delayed information structure and obtain the state-estimate feedback Nash equilibrium of our problem. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2510_21152 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Linear-Quadratic Non-zero Sum Differential Game with Asymmetric Delayed Information Ye, Yuxin Shi, Jingtao Optimization and Control 91A23, 93E20, 60H10, 49N10 This paper is concerned with a linear-quadratic non-zero sum differential game with asymmetric delayed information. To be specific, two players exist time delays simultaneously which are different, leading the dynamical system being an asymmetric information structure. By virtue of stochastic maximum principle, the stochastic Hamiltonian system is given which is a delayed forward-backward stochastic differential equation. Utilizing discretisation approach and backward iteration technique, we establish the relationship between forward and backward processes under asymmetric delayed information structure and obtain the state-estimate feedback Nash equilibrium of our problem. |
| title | Linear-Quadratic Non-zero Sum Differential Game with Asymmetric Delayed Information |
| topic | Optimization and Control 91A23, 93E20, 60H10, 49N10 |
| url | https://arxiv.org/abs/2510.21152 |