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Maximum principle for differential games of forward–backward stochastic systems with applications
16 references·3 citing·28 second hop
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References

  • 2019Theory of games and economic behavior16,777 cited
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  • 1953Le Comportement de l'Homme Rationnel devant le Risque: Critique des Postulats et Axiomes de l'Ecole Americaine4,117 cited
  • 1945Theory of Games and Economic Behavior4,092 cited
  • 1999Stochastic Controls2,593 cited
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  • 2013An Introduction to Game Theory1,518 cited
  • 2002Ambiguity, Risk, and Asset Returns in Continuous Time1,073 cited
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  • 2008Stochastic Differential Games and Viscosity Solutions of Hamilton–Jacobi–Bellman–Isaacs Equations200 cited
  • 2002A Leader-Follower Stochastic Linear Quadratic Differential Game185 cited
  • 2007

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Stochastic Differential Games and Viscosity Solutions of Hamilton-Jacobi-Bellman-Isaacs Equations
166 cited

Cited by

  • 2017Linear-quadratic partially observed forward–backward stochastic differential games and its application in finance17 cited
  • 2018A partially observed non-zero sum differential game of forward-backward stochastic differential equations and its application in finance16 cited
  • 2015Recursive stochastic linear-quadratic optimal control and nonzero-sum differential game problems with random jumps15 cited