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arXiv · 1005.5285

Zero-sum linear quadratic stochastic integral games and BSVIEs

Tianxiao Wang·Yufeng Shi
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Abstract

This paper formulates and studies a linear quadratic (LQ for short) game problem governed by linear stochastic Volterra integral equation. Sufficient and necessary condition of the existence of saddle points for this problem are derived. As a consequence we solve the problems left by Chen and Yong in [3]. Firstly, in our framework, the term GX^2(T) is allowed to be appear in the cost functional and the coefficients are allowed to be random. Secondly we study the unique solvability for certain coupled forward-backward stochastic Volterra integral equations (FBSVIEs for short) involved in this game problem. To characterize the condition aforementioned explicitly, some other useful tools, such as backward stochastic Fredholm-Volterra integral equations (BSFVIEs for short) and stochastic Fredholm integral equations (FSVIEs for short) are introduced. Some relations between them are investigated. As a application, a linear quadratic stochastic differential game with finite delay in the state variable and control variables is studied.

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Tianxiao Wang, Yufeng Shi. 2010-05-28. Zero-sum linear quadratic stochastic integral games and BSVIEs. https://arxiv.org/abs/1005.5285

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