Non-zero Sum Stochastic Differential Games of Fully Coupled Forward-Backward Stochastic Systems

Details Non-zero Sum Stochastic Differential Games of Fully Coupled Forward-Backward Stochastic Systems Non-zero Sum Stochastic Differential Games of Fully Coupled Forward-Backward Stochastic Systems

2010-10-12

arxiv.org/abs/1010.2306v1

Mathematics

Optimization and Control

Scientific paper

In this paper, an open-loop two-person non-zero sum stochastic differential game is considered for forward-backward stochastic systems. More precisely, the controlled systems are described by a fully coupled nonlinear multi- dimensional forward-backward stochastic differential equation driven by a multi-dimensional Brownian motion. one sufficient (a verification theorem) and one necessary conditions for the existence of open-loop Nash equilibrium points for the corresponding two-person non-zero sum stochastic differential game are proved. The control domain need to be convex and the admissible controls for both players are allowed to appear in both the drift and diffusion of the state equations.

Affiliated with

Also associated with

No associations

Rating

Non-zero Sum Stochastic Differential Games of Fully Coupled Forward-Backward Stochastic Systems does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Non-zero Sum Stochastic Differential Games of Fully Coupled Forward-Backward Stochastic Systems, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Non-zero Sum Stochastic Differential Games of Fully Coupled Forward-Backward Stochastic Systems will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-608119