Maximum principle for differential games of forward-backward stochastic systems with applications (Q640986)
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scientific article; zbMATH DE number 5960941
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| English | Maximum principle for differential games of forward-backward stochastic systems with applications |
scientific article; zbMATH DE number 5960941 |
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Maximum principle for differential games of forward-backward stochastic systems with applications (English)
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21 October 2011
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Zero sum and nonzero sum stochastic differential games over a finite horizon, governed by coupled forward-backward stochastic differential equations, are considered. Necessary and sufficient conditions for Nash equilibrium are derived for both in the framework of Pontryagin maximum principle. A worked out example illustrates how this can lead to explicit computation of equilibrium policies.
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stochastic differential games
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Pontryagin maximum principle
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forward-backward stochastic differential equations
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Nash equilibrium
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nonzero sum games
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zero sum games
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0.8940039873123169
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0.8809777498245239
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0.8727960586547852
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0.8649255633354187
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