Linear-Quadratic Zero-Sum Stochastic Differential Game with Partial Observation
Fuente:
arXiv
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| Autori principali: | , |
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| Natura: | Preprint |
| Pubblicazione: |
2025
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| _version_ | 1866908617261711360 |
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| author | Yu, Zhiyong Yue, Wanying |
| author_facet | Yu, Zhiyong Yue, Wanying |
| contents | 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. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2510_24493 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Linear-Quadratic Zero-Sum Stochastic Differential Game with Partial Observation Yu, Zhiyong Yue, Wanying Optimization and Control 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. |
| title | Linear-Quadratic Zero-Sum Stochastic Differential Game with Partial Observation |
| topic | Optimization and Control |
| url | https://arxiv.org/abs/2510.24493 |