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  • 标题:Non-zero sum quadratic differential game of BSDEs and multi-dimensional diagonally quadratic BSDE
  • 本地全文:下载
  • 作者:Ying Hu ; Ying Hu ; Shanjian Tang
  • 期刊名称:IFAC PapersOnLine
  • 印刷版ISSN:2405-8963
  • 出版年度:2016
  • 卷号:49
  • 期号:18
  • 页码:308-309
  • DOI:10.1016/j.ifacol.2016.10.182
  • 语种:English
  • 出版社:Elsevier
  • 摘要:Abstract: We introduce a non-zero sum differential game of backward stochastic differential equations (BSDEs). We construct the (unique) Nash equilibrium via the solution of a multidimensional diagonally quadratic BSDE, whose solvability is derived from both authors’ recent joint paper Hu and Tang (2016).
  • 关键词:Keywordsnon-zero sum stochastic differential gamestochastic differential utilityNash equilibriummulti-dimensional diagonally quadratic BSDE
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