Forward-backward stochastic differential equations, linear quadratic stochastic optimal control and nonzero sum differential games

zbMath1156.93409MaRDI QIDQ2574488

Zhen Wu

Publication date: 29 November 2005

Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Differential games (aspects of game theory) (91A23) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Stochastic games, stochastic differential games (91A15)

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