Linear quadratic nonzero-sum differential games with random jumps
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Publication:940010
DOI10.1007/BF02466416zbMath1144.91305MaRDI QIDQ940010
Publication date: 1 September 2008
Published in: Applied Mathematics and Mechanics. (English Edition) (Search for Journal in Brave)
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Differential games (aspects of game theory) (91A23)
Related Items (13)
Recursive stochastic linear-quadratic optimal control and nonzero-sum differential game problems with random jumps ⋮ Necessary and sufficient optimality conditions for relaxed and strict control of forward-backward doubly SDEs with jumps under full and partial information ⋮ Time-inconsistent linear-quadratic non-zero sum stochastic differential games with random jumps ⋮ Backward linear-quadratic stochastic optimal control and nonzero-sum differential game problem with random jumps ⋮ Optimal control of multifactor uncertain system with jumps ⋮ Linear quadratic nonzero sum differential games with asymmetric information ⋮ Stability and linear quadratic differential games of discrete-time Markovian jump linear systems with state-dependent noise ⋮ Nonzero sum differential game of mean-field BSDEs with jumps under partial information ⋮ Optimal control of uncertain systems with jump under optimistic value criterion ⋮ Mean-field type forward-backward doubly stochastic differential equations and related stochastic differential games ⋮ Linear quadratic open-loop Stackelberg game for stochastic systems with Poisson jumps ⋮ Linear-quadratic non-zero sum differential game for mean-field stochastic systems with asymmetric information ⋮ General maximum principles for partially observed risk-sensitive optimal control problems and applications to finance
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- Nonzero sum linear–quadratic stochastic differential games and backward–forward equations
- Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control
- Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
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