BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations.

DOI10.1016/S0304-4149(03)00059-0zbMath1075.60534OpenAlexW2154825028MaRDI QIDQ2574593

Nicole El Karoui, Said Hamadène

Publication date: 29 November 2005

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4149(03)00059-0

zbMATH Keywords

optimal controlbackward stochastic differential equationssaddle pointzero-sum gameequilibrium point

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic calculus of variations and the Malliavin calculus (60H07)

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