Nonzero sum linear-quadratic stochastic differential games and backward-forward equations
Author:
S. Hamad
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| Affiliation: | a D partement de math matiques, Universit du Maine, Le Mans, BP, France |
DOI:
10.1080/07362999908809591
Publication Frequency:
6 issues per year
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(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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