Title :
Recursive Zero-Sum Stochastic Differential Game
Author :
Wei Lifeng ; Wu Zhen
Author_Institution :
Sch. of Math., Shandong Univ., Jinan
Abstract :
In this paper we are concerned with the recursive zero-sum stochastic differential game problems. Using the backward stochastic differential equations techniques the existence result of a saddle point is obtained when the Isaacs´ condition holds. An example and simulation result are also given to illustrate the application of theoretical result.
Keywords :
differential equations; differential games; stochastic games; Isaacs condition; backward stochastic differential equation; recursive zero-sum stochastic differential game; Algebra; Automation; Differential equations; Filtration; Finance; Game theory; Mathematics; Optimal control; Reflection; Stochastic processes; Backward stochastic differential equation; Comparison theorem; Girsnov´s theorem; Recursive optimal control;
Conference_Titel :
Intelligent Computation Technology and Automation (ICICTA), 2008 International Conference on
Conference_Location :
Hunan
Print_ISBN :
978-0-7695-3357-5
DOI :
10.1109/ICICTA.2008.116
