Linear-Quadratic Stochastic Differential Games with General Noise Processes

Tyrone E. Duncan ()
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Tyrone E. Duncan: University of Kansas

A chapter in Models and Methods in Economics and Management Science, 2014, pp 17-25 from Springer

Abstract: Abstract In this paper a noncooperative, two person, zero sum, stochastic differential game is formulated and solved that is described by a linear stochastic system and a quadratic cost functional for the two players. The optimal strategies for the two players are given explicitly using a relatively simple direct method. The noise process for the two player linear system can be an arbitrary square integrable stochastic process with continuous sample paths. The special case of a fractional Brownian motion noise is explicitly noted.

Keywords: Riccati Equation; Fractional Brownian Motion; Hurst Parameter; Stochastic Differential Game; Linear Stochastic System (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:spr:isochp:978-3-319-00669-7_2

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DOI: 10.1007/978-3-319-00669-7_2

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