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arXiv 2012.064492020-12math.PRmath.OC

Maximum principles for stochastic time-changed Volterra games

Giulia Di Nunno, Michele Giordano

英文摘要：

We study a stochastic differential game between two players, controlling a forward stochastic Volterra integral equation (FSVIE). Each player has to optimize his own performance functional which includes a backward stochastic differential equation (BSDE). The dynamics considered are driven by time-changed Lévy noises, with absolutely continuous time-change process. We prove a sufficient maximum principle to characterize Nash equilibria and the related optimal strategies. For this we use techniques of control under partial information, and the non-anticipating stochastic derivative. The zero-sum game is presented as a particular case.

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