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dc.date.accessioned2020-12-01T20:12:31Z
dc.date.available2020-12-01T20:12:31Z
dc.date.created2020-04-25T18:18:42Z
dc.date.issued2020
dc.identifier.citationDahl, Kristina Rognlien . Forward-backward stochastic differential equation games with delay and noisy memory. Stochastic Analysis and Applications. 2020, 1-23
dc.identifier.urihttp://hdl.handle.net/10852/81321
dc.description.abstractThe goal of this paper is to study a stochastic game connected to a system of forward-backward stochastic differential equations (FBSDEs) involving delay and noisy memory. We derive sufficient and necessary maximum principles for a set of controls for the players to be a Nash equilibrium in the game. Furthermore, we study a corresponding FBSDE involving Malliavin derivatives. This kind of equation has not been studied before. The maximum principles give conditions for determining the Nash equilibrium of the game. We use this to derive a closed form Nash equilibrium for an economic model where the players maximize their consumption with respect to recursive utility.
dc.languageEN
dc.rightsAttribution-NonCommercial 4.0 International
dc.rights.urihttps://creativecommons.org/licenses/by-nc/4.0/
dc.titleForward-backward stochastic differential equation games with delay and noisy memory
dc.typeJournal article
dc.creator.authorDahl, Kristina Rognlien
cristin.unitcode185,15,13,35
cristin.unitnameRisiko og Stokastikk
cristin.ispublishedtrue
cristin.fulltextpostprint
cristin.qualitycode1
dc.identifier.cristin1808046
dc.identifier.bibliographiccitationinfo:ofi/fmt:kev:mtx:ctx&ctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.jtitle=Stochastic Analysis and Applications&rft.volume=&rft.spage=1&rft.date=2020
dc.identifier.jtitleStochastic Analysis and Applications
dc.identifier.volume38
dc.identifier.issue4
dc.identifier.startpage708
dc.identifier.endpage729
dc.identifier.doihttps://doi.org/10.1080/07362994.2020.1713810
dc.identifier.urnURN:NBN:no-84411
dc.type.documentTidsskriftartikkel
dc.type.peerreviewedPeer reviewed
dc.source.issn0736-2994
dc.identifier.fulltextFulltext https://www.duo.uio.no/bitstream/handle/10852/81321/5/10-1080-07362994-2020-1713810.pdf
dc.type.versionPublishedVersion
dc.relation.projectNFR/299897


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Attribution-NonCommercial 4.0 International
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