In this paper, we initiate a study on optimal control problem for stochastic differential games under generalized expectation via backward stochastic differential equations and partial information. We first prove a sufficient maximum principle for zero-sum stochastic differential game problems. And then extend our approach to general stochastic differential games (nonzero-sum games) and obtain an equilibrium point of such game. Finally, we give some examples of applications.
This is an Accepted Manuscript of an article published by Taylor & Francis in Stochastics An International Journal of Probability and Stochastic Processes: formerly Stochastics and Stochastics Reports