Title :
Linear-quadratic nonzero-sum differential game of backward stochastic differential equations
Author :
Zhiyong, Yu ; Shaolin, Ji
Author_Institution :
Sch. of Math. & Syst. Sci., Shandong Univ., Jinan
Abstract :
We obtain an existence and uniqueness result for an initial coupled forward-backward stochastic differential equation under some monotone conditions. Then this result was applied to backward linear-quadratic nonzero-sum stochastic differential game problem and get the explicit form of a Nash equilibrium point.
Keywords :
differential equations; differential games; stochastic processes; Nash equilibrium; backward stochastic differential equation; forward-backward equation; linear-quadratic problem; nonzero-sum differential game; Differential equations; Finance; Game theory; Mathematics; Nash equilibrium; Nonlinear equations; Optimal control; Pricing; Stochastic processes; Stochastic systems; Backward stochastic differential game; Forward-backward stochastic differential equation; Linear-quadratic problem; Nash equilibrium;
Conference_Titel :
Control Conference, 2008. CCC 2008. 27th Chinese
Conference_Location :
Kunming
Print_ISBN :
978-7-900719-70-6
Electronic_ISBN :
978-7-900719-70-6
DOI :
10.1109/CHICC.2008.4605519
