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FORWARD-BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS, LINEAR QUADRATIC STOCHASTIC OPTIMAL CONTROL AND NONZERO SUM DIFFERENTIAL GAMES

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References

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2011Linear−quadratic optimal control and nonzero‐sum differential game of forward−backward stochastic system46 cited
2012Delayed Stochastic Linear‐Quadratic Control Problem and Related Applications43 cited
2014Maximum Principle for Nonzero-Sum Stochastic Differential Game With Delays40 cited
2018General linear forward and backward Stochastic difference equations with applications31 cited
2012Equivalent cost functionals and stochastic linear quadratic optimal control problems29 cited

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2010

Maximum principle for forward-backward doubly stochastic control systems and applications

27 cited

2011A type of general forward-backward stochastic differential equations and applications26 cited

2020Two-player zero-sum stochastic differential games with regime switching23 cited

2008Linear-quadratic nonzero-sum differential game of backward stochastic differential equations19 cited

2011Maximum principle for differential games of forward–backward stochastic systems with applications18 cited