A Leader-Follower Stochastic Linear Quadratic Differential Game (Q4785671)
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scientific article; zbMATH DE number 1848486
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Leader-Follower Stochastic Linear Quadratic Differential Game |
scientific article; zbMATH DE number 1848486 |
Statements
A Leader-Follower Stochastic Linear Quadratic Differential Game (English)
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5 January 2003
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leader-follower stochastic differential game
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linear-quadratic control problem
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FBSDE
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stochastic Riccati equation
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controlled diffusion
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forward-backward SDE
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