Title :
A non-zero sum differential game of BSDE with time-delayed generator
Author :
Jingtao, Shi ; Guangchen, Wang
Author_Institution :
School of Mathematics, Shandong University, Jinan 250100, P.R. China
Abstract :
In this paper, we discuss a kind of non-zero sum differential game, where the state dynamics is governed by a backward stochastic differential equation with time-delayed generator. A sufficient condition for open-loop equilibrium point is obtained and is used to solve a pension fund management problem with time-delayed surplus.
Keywords :
Delay effects; Differential equations; Games; Generators; Mathematical model; Optimal control; Pensions; Arrow´s sufficient optimality condition; Non-zero sum differential game; backward stochastic differential equation; open-loop equilibrium point; time-delayed generator;
Conference_Titel :
Control Conference (CCC), 2015 34th Chinese
Conference_Location :
Hangzhou, China
DOI :
10.1109/ChiCC.2015.7259891
