Zero-Sum Stochastic Differential Games of Mean-Field type and BSDEs

摘要：

In this paper, we deal with zero-sum stochastic game problems for stochastic differential equations (SDEs) of meanfield type, in which the coefficients depend on the law of some functional as well as the state of the process. Moreover, the cost functional is also of mean-field type. For the bounded case, applying the theory of backward stochastic differential equations, we obtain the existence of a saddle point under the Isaacs’ condition.

关键词： Zero-sum stochastic differential game Mean field Saddle point Backward stochastic differential equation (BSDE)

作者: Xu Ruimin

作者单位: School of Mathematics, Shandong Polytechnic University, Jinan, 250353, P. R. China School of Mathematics, Shandong University, Jinan, 250100, P. R. China

会议类型: 国际会议

会议名称: The 31st Chinese Control Conference(第三十一届中国控制会议)

会议地点: 合肥

会议语种:英文

页码: 1651-1654

在线出版日期: 2012-07-01（万方平台首次上网日期，不代表论文的发表时间）