The Dynamic Programming Method of Stochastic Differential Game for Functional Forward-Backward Stochastic System

The Dynamic Programming Method of Stochastic Differential Game for Functional Forward-Backward Stochastic System

This paper is devoted to a stochastic differential game (SDG) of decoupled functional forward-backward stochastic differential equation (FBSDE). For our SDG, the associated upper and lower value functions of the SDG are defined through the solution of controlled functional backward stochastic differ...

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Bibliographic Details
Main Authors:	Shaolin Ji, Chuanfeng Sun, Qingmeng Wei
Format:	Article
Language:	English
Published:	Hindawi Limited 2013-01-01
Series:	Mathematical Problems in Engineering
Online Access:	http://dx.doi.org/10.1155/2013/958920

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