Nonlinear Stochastic Differential Games Involving a Major Player and a Large Number of Collectively Acting Minor Agents

DOI10.1137/130933174zbMath1292.93144arXiv1308.5057OpenAlexW1965098697MaRDI QIDQ5494884

Shige Peng, Rainer Buckdahn, Juan Li

Publication date: 30 July 2014

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1308.5057

zbMATH Keywords

backward stochastic differential equationstochastic differential gametwo-person zero-sum stochastic differential gamesaddle point control

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Differential games and control (49N70) Differential games (aspects of game theory) (91A23) Dynamic programming (90C39) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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