Nonzero sum linear–quadratic stochastic differential games and backward–forward equations
Author:
Publisher
Informa UK Limited
Subject
Applied Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability
Link
http://www.tandfonline.com/doi/pdf/10.1080/07362999908809591
Reference16 articles.
1. Backward-Forward Stochastic Differential Equations
2. Solving forward-backward stochastic differential equations explicitly — a four step scheme
3. Nonexistence and nonuniqueness of open-loop equilibria in linear-quadratic differential games
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