Author： Sun Jingrui Yong Jiongmin Zhang Shuguang
Publisher： Edp Sciences
E-ISSN： 1262-3377|22|3|743-769
ISSN： 1292-8119
Source： ESAIM: Control, Optimisation and Calculus of Variations, Vol.22, Iss.3, 2016-06, pp. : 743-769
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Abstract
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 saddle points are introduced. The existence of closed-loop saddle points is characterized by the solvability of an algebraic Riccati equation with a certain stabilizing condition. A crucial result makes our approach work is the unique solvability of a class of linear backward stochastic differential equations in an infinite horizon.
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