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math.OC2014
Linear Quadratic Stochastic Two-Person Zero-Sum Differential Games in an Infinite Horizon
Jingrui Sun, Jiongmin Yong, Shuguang Zhang
This paper is concerned with a linear quadratic stochastic two-person zero-sum differential game with constant coefficients in an infinite time horizon. Open-loop and closed-loop s…
math.OC2014
Linear Quadratic Stochastic Differential Games: Open-Loop and Closed-Loop Saddle Points
Jingrui Sun, Jiongmin Yong
In this paper, we consider a linear quadratic stochastic two-person zero-sum differential game. The controls for both players are allowed to appear in both drift and diffusion of t…