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math.OC2010
Non-zero Sum Stochastic Differential Games of Fully Coupled Forward-Backward Stochastic Systems
Maoning Tang, Qingxin Meng, Yongzheng Sun
In this paper, an open-loop two-person non-zero sum stochastic differential game is considered for forward-backward stochastic systems. More precisely, the controlled systems are d…
math.OC2010★ 1 cited
Optimal Variational Principle for Backward Stochastic Control Systems Associated with Lévy Processes
Maoning Tang, Qi Zhang
The paper is concerned with optimal control of backward stochastic differential equation (BSDE) driven by Teugel's martingales and an independent multi-dimensional Brownian motion,…