A stochastic differential game for quadratic-linear diffusion processes
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Fleming-Bellman-Isaacs equationsinsuranceNash equilibriumquadratic-linear diffusion processstochastic differential game
Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Stochastic games, stochastic differential games (91A15) Differential games (aspects of game theory) (91A23) Optimal stochastic control (93E20)
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