BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations

We deal with the risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations. Using backward stochastic differential equations we show the existence of an optimal control and, a saddle-point and an equilibrium point for respectively the zero-sum and nonzero-sum games.

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Year of publication:	2003
Authors:	El-Karoui, N. ; Hamadène, S.
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 107.2003, 1, p. 145-169
Publisher:	Elsevier
Keywords:	Backward SDEs Risk-sensitive control Zero-sum game Nonzero-sum game Optimal control Saddle point Equilibrium point

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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