Non-zero sum quadratic differential game of BSDEs and multi-dimensional diagonally quadratic BSDE - Archive ouverte HAL Access content directly
Conference Papers Year : 2016

Non-zero sum quadratic differential game of BSDEs and multi-dimensional diagonally quadratic BSDE

Ying Hu
  • Function : Author
  • PersonId : 829971
  • IdHAL : ying-hu
Shanjian Tang
  • Function : Author
  • PersonId : 968042

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).

Dates and versions

hal-01467478 , version 1 (14-02-2017)

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Ying Hu, Shanjian Tang. Non-zero sum quadratic differential game of BSDEs and multi-dimensional diagonally quadratic BSDE. 10th IFAC Symposium on Nonlinear Control Systems NOLCOS 2016, Aug 2016, Monterey, United States. pp.308-309, ⟨10.1016/j.ifacol.2016.10.182⟩. ⟨hal-01467478⟩
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