Mean-field backward–forward stochastic differential equations and nonzero sum stochastic differential games

DOI10.1142/S0219493721500362zbMath1483.60078arXiv1904.06193OpenAlexW3108852144WikidataQ115245732 ScholiaQ115245732MaRDI QIDQ3384670

Boualem Djehiche, Said Hamadène, Yinggu Chen

Publication date: 17 December 2021

Published in: Stochastics and Dynamics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1904.06193

zbMATH Keywords

optimal controlbackward SDEsmean-fieldnonlinear diffusion processnonzero-sum gameopen loop Nash equilibrium

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of optimal control and differential games (49N90) Differential games (aspects of game theory) (91A23) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (2)

Markovian-switching systems: backward and forward-backward stochastic differential equations, mean-field interactions, and nonzero-sum differential games ⋮ Solvability of infinite horizon McKean-Vlasov FBSDEs in mean field control problems and games

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