Forward-backward stochastic differential equation games with delay and noisy memory

DOI10.1080/07362994.2020.1713810zbMath1444.91022arXiv1706.09651OpenAlexW3001224722WikidataQ115297233 ScholiaQ115297233MaRDI QIDQ3298104

Kristina Rognlien Dahl

Publication date: 21 July 2020

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

Full work available at URL: https://arxiv.org/abs/1706.09651

zbMATH Keywords

delayforward-backward stochastic differential equationsstochastic gamenoisy memory

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) 2-person games (91A05) Stochastic games, stochastic differential games (91A15) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (1)

Sufficient maximum principle for stochastic optimal control problems with general delays

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