BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations
2003
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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