Partial Information Stochastic Differential Games for Backward Stochastic Systems Driven by Lévy Processes

الملخص EN

In this paper, we consider a partial information two-person zero-sum stochastic differential game problem, where the system is governed by a backward stochastic differential equation driven by Teugels martingales and an independent Brownian motion.

A sufficient condition and a necessary one for the existence of the saddle point for the game are proved.

As an application, a linear quadratic stochastic differential game problem is discussed.