Partial Information Non-zero Sum Differential Games of Backward Stochastic Differential Equations with Applications
Speaker:Prof. Guangchen Wang
School of Control Science and Engineering
Shandong University
Date & Time:31 Jan 2013 (Thursday) 10:00
Organized by:Department of Mathematics


This talk is concerned with a new kind of non-zero sum differential games of BSDEs. It is required that the control is adapted to a sub-filtration of the filtration generated by the underlying Brownian motion. We establish a necessary condition in the form of maximum principle for open-loop Nash equilibrium point of this type of partial information game, and then give a verification theorem which is a sufficient condition for Nash equilibrium point. The theoretical results are applied to study partial information LQ game and a partial information financial problem.


Prof. Guangchen Wang is currently an Associate Professor of School of Control Science and Engineering of Shandong University. Prof. Wang received his Ph.D. degree in School of Mathematics and System Services of Shandong University too. Prof. Wang is interested in Stochastic Control, Stochastic Filtering, and Mathematical Finance. The publications of Prof. Wang include, Maximum principles for forward-backward stochastic control systems with correlated state and observation noises, A partial information non-zero sum differential game of backward stochastic differential equations with applications, Mean-variance hedging and forward-backward stochastic differential filtering equations, Near-optimal control for stochastic recursive problems etc.