Abstract
This technical note is concerned with the maximum principle for a non-zero sum stochastic differential game with discrete and distributed delays. Not only the state variable, but also control variables of players involve discrete and distributed delays. By virtue of the duality method and the generalized anticipated backward stochastic differential equations, the author establishes a necessary maximum principle and a sufficient verification theorem. To explain theoretical results, the author applies them to a dynamic advertising game problem.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have