\`x^2+y_1+z_12^34\`
Advanced Search
Article Contents
Article Contents

Two-person zero-sum linear quadratic stochastic differential games by a Hilbert space method

Abstract Related Papers Cited by
  • An open-loop two-person zero-sum linear quadratic (LQ for short) stochastic differential game is considered. The controls for both players are allowed to appear in both the drift and diffusion of the state equation, the weighting matrices in the payoff/cost functional are not assumed to be definite/non-singular, and the cross-terms between two controls are allowed to appear. A forward-backward stochastic differential equation (FBSDE, for short) and a generalized differential Riccati equation are introduced, whose solvability leads to the existence of the open-loop saddle points for the corresponding two-person zero-sum LQ stochastic differential game, under some additional mild conditions. The main idea is a thorough study of general two-person zero-sum LQ games in Hilbert spaces.
    Mathematics Subject Classification: 91A23, 91A15, 91A05, 49N70, 49N10.

    Citation:

    \begin{equation} \\ \end{equation}
  • 加载中
SHARE

Article Metrics

HTML views() PDF downloads(221) Cited by(0)

Access History

Other Articles By Authors

Catalog

    /

    DownLoad:  Full-Size Img  PowerPoint
    Return
    Return