A leader-follower stochastic linear quadratic differential game

SIAM Journal on Control and Optimization

Volumn 41, Issue 4, 2003, Pages 1015-1041

  Yong, Jiongmin ^a  

^a FUDAN UNIVERSITY   (China)

Author keywords

Forward backward stochastic differential equation; Leader follower stochastic differential game; Linear quadratic optimal control problem; Stochastic Riccati equation

Indexed keywords

MATRIX ALGEBRA; OPTIMAL CONTROL SYSTEMS; RANDOM PROCESSES; RICCATI EQUATIONS;

COST FUNCTIONALS;

GAME THEORY;

EID: 0042928469     PISSN: 03630129     EISSN: None     Source Type: Journal    
DOI: 10.1137/S0363012901391925     Document Type: Article

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