Infinite horizon mean-field type forward backward stochastic delay differential game with Poisson jump processes

R. Deepa; P. Muthukumar

doi:10.26637/MJM0704/0035

Abstract

This paper analyzes the optimal control of mean field type forward-backward non-zero sum stochastic delay
differential game with Poisson random measure over infinite time horizon. Further, infinite horizon version of stochastic maximum principle and necessary condition for optimality are established under the transversality conditions and the assumption of convex control domain. Finally, the Nash equilibrium for optimization problem in financial market is presented to illustrate the theoretical study.

Keywords:

Infinite-horizon, Mean field, Nash equilibrium, Optimal control, Poisson jump processes, Stochastic delay differential game

Mathematics Subject Classification:

Mathematics

Authors Imprint References Funding Related Articles Downloads

R. Deepa Department of Mathematics, Gandhigram Rural Institute - Deemed University, Gandhigram - 624 302, Tamilnadu, India. https://orcid.org/0000-0001-5354-4982
P. Muthukumar Department of Mathematics, Gandhigram Rural Institute - Deemed University, Gandhigram - 624 302, Tamilnadu, India. https://orcid.org/0000-0003-1396-9948

Pages: 841-847
Date Published: 01-10-2019
Vol. 7 No. 04 (2019): Malaya Journal of Matematik (MJM)

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