Title of article :
BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations
Author/Authors :
El-Karoui، نويسنده , , N. and Hamadène، نويسنده , , S.، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2003
Abstract :
We deal with the risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations. Using backward stochastic differential equations we show the existence of an optimal control and, a saddle-point and an equilibrium point for respectively the zero-sum and nonzero-sum games.
Keywords :
Backward SDEs , Risk-sensitive control , Zero-Sum Game , Nonzero-sum game , optimal control , Saddle point , equilibrium point
Journal title :
Stochastic Processes and their Applications
Journal title :
Stochastic Processes and their Applications