Nonzero sum linear-quadratic stochastic differential games and backward-forward equations

被引：51

作者：

Hamadène, S ^{[1
]}

机构：

[1] Univ Maine, Dept Math, F-72017 Le Mans, France

来源：

STOCHASTIC ANALYSIS AND APPLICATIONS | 1999年 / 17卷 / 01期

关键词：

D O I：

10.1080/07362999908809591

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

We study the link between linear backward-forward stochastic differential equations and the problem of existence of Nash equilibrium points in nonzero sum linear-quadratic stochastic differential, games. For such games we show the existence of an equilibrium point whose expression is given.

引用

页码：117 / 130

页数：14

共 16 条

[1]

ANTONELLI F, 1993, ANN APPL PROBABILITY, V3

[2]

Bensoussan A, 1988, MODERN APPL MATH

[3]

Bensoussan A., 1981, Lecture Notes in Math, V972

[4] NONEXISTENCE AND NONUNIQUENESS OF OPEN-LOOP EQUILIBRIA IN LINEAR-QUADRATIC DIFFERENTIAL-GAMES [J].

EISELE, T .

JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS, 1982, 37 (04) :443-468

[5]

ELLIOTT RJ, 1982, STOCHATIC CALCULUS A

[6]

EMERY M, 1979, SEMINAIRES PROBABILI, V13

[7] STOCHASTIC DIFFERENTIAL GAMES [J].

FRIEDMAN, A .

JOURNAL OF DIFFERENTIAL EQUATIONS, 1972, 11 (01) :79-&

[8]

FRIEDMAN A, 1973, DIFFERENTIAL GAMES

[9]

Haussmann U.G., 1986, PITMAN RES NOTES MAT

[10]

Karatzas I., 2012, BROWNIAN MOTION STOC, VVol. 113

← 1 2 →