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Linear Quadratic Stochastic Differential Games: Open-Loop and Closed-Loop Saddle Points
5 references·16 citing·39 second hop
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this work references cited by second hop

References

  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 1999Stochastic controls : Hamiltonian systems and HJB equations1,780 cited
  • 1994Solving forward-backward stochastic differential equations explicitly — a four step scheme740 cited
  • 2007Forward-Backward Stochastic Differential Equations and their Applications675 cited
  • 2003General Linear Quadratic Optimal Stochastic Control Problems with Random Coefficients: Linear Stochastic Hamilton Systems and Backward Stochastic Riccati Equations172 cited

Cited by

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  • 2017Time-Inconsistent Recursive Stochastic Optimal Control Problems72 cited
  • 2015Indefinite Mean-Field Stochastic Linear-Quadratic Optimal Control: From Finite Horizon to Infinite Horizon66 cited
  • 2016Linear quadratic optimal control of conditional McKean-Vlasov equation with random coefficients and applications62 cited
  • 2018Linear–quadratic stochastic two-person nonzero-sum differential games: Open-loop and closed-loop Nash equilibria50 cited
  • 2016Mean-field stochastic linear quadratic optimal control problems: closed-loop solvability50 cited
  • 2016Mean-Field stochastic Linear Quadratic optimal control problems: Open-loop solvabilities45 cited
  • 2019Controllability of Stochastic Game-Based Control Systems44 cited

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  • 2017Linear quadratic control problems of stochastic Volterra integral equations27 cited
  • 2021Mean-field linear-quadratic stochastic differential games in an infinite horizon25 cited
  • 2015Linear quadratic stochastic two-person zero-sum differential games in an infinite horizon24 cited
  • 2020Time-Inconsistent Linear Quadratic Optimal Control Problems for Stochastic Evolution Equations22 cited
  • 2021Open-loop and closed-loop solvabilities for stochastic linear quadratic optimal control problems of Markovian regime switching system21 cited