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math.PR2020
Linear-Quadratic Stochastic Differential Games on Random Directed Networks
Yichen Feng, Jean-Pierre Fouque, Tomoyuki Ichiba
The study of linear-quadratic stochastic differential games on directed networks was initiated in Feng, Fouque \& Ichiba \cite{fengFouqueIchiba2020linearquadratic}. In that work, t…
math.PR2020★ 4 cited
Linear-Quadratic Stochastic Differential Games on Directed Chain Networks
Yichen Feng, Jean-Pierre Fouque, Tomoyuki Ichiba
We study linear-quadratic stochastic differential games on directed chains inspired by the directed chain stochastic differential equations introduced by Detering, Fouque, and Ichi…