Linear quadratic nonzero-sum differential games with random jumps
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Publication:940010
DOI10.1007/BF02466416zbMATH Open1144.91305MaRDI QIDQ940010FDOQ940010
Authors: Zhen Wu, Zhiyong Yu 
Publication date: 1 September 2008
Published in: Applied Mathematics and Mechanics. (English Edition) (Search for Journal in Brave)
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Differential games (aspects of game theory) (91A23) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)
Cites Work
- Solving forward-backward stochastic differential equations explicitly -- a four step scheme
- Title not available (Why is that?)
- Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control
- Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
- Solution of forward-backward stochastic differential equations
- Finding adapted solutions of forward-backward stochastic differential equations: Method of continuation
- Nonzero sum linear–quadratic stochastic differential games and backward–forward equations
- On solutions of backward stochastic differential equations with jumps and applications
- Nonexistence and nonuniqueness of open-loop equilibria in linear- quadratic differential games
- Forward-backward stochastic differential equations with Brownian motion and Poisson process
Cited In (20)
- Backward linear-quadratic stochastic optimal control and nonzero-sum differential game problem with random jumps
- Time-inconsistent linear-quadratic non-zero sum stochastic differential games with random jumps
- Forward-backward doubly stochastic differential equations with random jumps and related games
- Optimal control of multifactor uncertain system with jumps
- One kind of linear-quadratic zero-sum stochastic differential game with jumps
- Linear quadratic open-loop Stackelberg game for stochastic systems with Poisson jumps
- Necessary and sufficient optimality conditions for relaxed and strict control of forward-backward doubly SDEs with jumps under full and partial information
- Linear-quadratic non-zero sum differential game for mean-field stochastic systems with asymmetric information
- The irrational behavior proof condition for linear-quadratic discrete-time dynamic games with nontransferable payoffs
- Nash equilibrium of bilinear Itô-Poisson stochastic differential games
- Recursive stochastic linear-quadratic optimal control and nonzero-sum differential game problems with random jumps
- Linear - quadratic optimal control and nonzero-sum differential game of forward-backward stochastic system
- Mean-field type forward-backward doubly stochastic differential equations and related stochastic differential games
- On nonzero-sum game considered on solutions of a hybrid system with frequent random jumps
- A variational formula for non-zero sum stochastic differential game of fully coupled forward-backward stochastic systems with jumps and some applications
- General maximum principles for partially observed risk-sensitive optimal control problems and applications to finance
- Optimal control of uncertain systems with jump under optimistic value criterion
- Stability and linear quadratic differential games of discrete-time Markovian jump linear systems with state-dependent noise
- Linear quadratic nonzero sum differential games with asymmetric information
- Nonzero sum differential game of mean-field BSDEs with jumps under partial information
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