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Nonzero sum linear-quadratic stochastic differential games and backward-forward equations 

Author: S. Hamadegravene a
Affiliation:   a Deacutepartement de matheacutematiques, Universiteacute du Maine, Le Mans, BP, France
DOI: 10.1080/07362999908809591
Publication Frequency: 6 issues per year
Published in: journal Stochastic Analysis and Applications, Volume 17, Issue 1 1999 , pages 117 - 130
Formats available: PDF (English)
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Abstract

We study the link between linear backward-forward stochastic differential equations and the problem of existence of Nash equilibrium points in nonzero sum linear-quadratic stochastic differential games. For such games we show the existence of an equilibrium point whose expression is given
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