Michele Giordano


We study a stochastic game between two palyers, based on a forward stochastic Volterra integral equation (FSVIE) and two  backward stochastic Volterra integral equations (BSVIEs). All those processes are driven by a time changed Lévy noise. We use a nonanticipating derivative to prove both a necessary both a necessary (Pontryagin) and a sufficient (Mangasarian) maximum principle for an optimal control problem. We propose a formulation both for the zero sum and the non zero sum games and give some examples in both cases.

Published Jan. 12, 2020 10:50 AM - Last modified Jan. 12, 2020 10:50 AM