摘要
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.
基金
the National Natural Science Foundation of China under Grant No.11701214
Shandong Provincial Natural Science Foundation
China under Grant No.ZR2019MA045。
