Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/17078
Title: Maximum principle for differential games of forward-backward stochastic systems with applications
Authors: Hui, ECM 
Xiao, H
Keywords: Equilibrium point
Forward-backward stochastic differential equation
Maximum principle
Saddle point
Stochastic differential game
Issue Date: 2012
Publisher: Academic Press
Source: Journal of mathematical analysis and applications, 2012, v. 386, no. 1, p. 412-427 How to cite?
Journal: Journal of mathematical analysis and applications 
Abstract: This paper is concerned with a maximum principle for both zero-sum and nonzero-sum games. The most distinguishing feature, compared with the existing literature, is that the game systems are described by forward-backward stochastic differential equations. This kind of games is motivated by linear-quadratic differential game problems with generalized expectation. We give a necessary condition and a sufficient condition in the form of maximum principle for the foregoing games. Finally, an example of a nonzero-sum game is worked out to illustrate that the theories may find interesting applications in practice. In terms of the maximum principle, the explicit form of an equilibrium point is obtained.
URI: http://hdl.handle.net/10397/17078
ISSN: 0022-247X
EISSN: 1096-0813
DOI: 10.1016/j.jmaa.2011.08.009
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