Linear-quadratic stochastic two-person nonzero-sum differential games: open-loop and closed-loop Nash equilibria

DOI10.1016/j.spa.2018.03.002zbMath1405.91025arXiv1607.04526OpenAlexW2963004325MaRDI QIDQ1713461

Jingrui Sun, Jiong-min Yong

Publication date: 25 January 2019

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

Full work available at URL: https://arxiv.org/abs/1607.04526

zbMATH Keywords

stochastic differential equationNash equilibriumopen-loopRiccati differential equationlinear-quadratic differential gameclosed-looptwo-personnonzero-sum

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Differential games and control (49N70) 2-person games (91A05) Differential games (aspects of game theory) (91A23) Linear-quadratic optimal control problems (49N10) Stochastic games, stochastic differential games (91A15)

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