Backward-forward SDE's and stochastic differential games

S. Hamadène

Stochastic Processes and their Applications, 1998, vol. 77, issue 1, 1-15

Abstract: In this paper, the first part is concerned with the study of backward-forward stochastic differential equations without the non-degeneracy condition for the forward equation. We show existence and unicity of the solution to such equations under weaker monotonicity assumptions than those of Hu and Peng (1990). In a second part, we apply the results of the first part for studying the problem of existence of open-loop Nash equilibrium points for nonzero sum linear-quadratic stochastic differential games with random coefficients. We show existence, and give their expression, of such points without any limitation of the duration of the game.

Keywords: Backward-forward; equation; Backward; equation; Nonzero; sum; stochastic; differential; game; Open-loop; Nash; equilibrium; point (search for similar items in EconPapers)
Date: 1998
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Citations: View citations in EconPapers (2)

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