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

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