DocumentCode
3227952
Title
Recursive Zero-Sum Stochastic Differential Game
Author
Wei Lifeng ; Wu Zhen
Author_Institution
Sch. of Math., Shandong Univ., Jinan
Volume
2
fYear
2008
fDate
20-22 Oct. 2008
Firstpage
998
Lastpage
1001
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;
fLanguage
English
Publisher
ieee
Conference_Titel
Intelligent Computation Technology and Automation (ICICTA), 2008 International Conference on
Conference_Location
Hunan
Print_ISBN
978-0-7695-3357-5
Type
conf
DOI
10.1109/ICICTA.2008.116
Filename
4659913
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