In this paper, we deal with one kind of two-player zero-sum linear quadratic stochastic differential game problem. We give the existence of an open loop saddle point if and only if the lower and upper values exist.
基金The Young Research Foundation(201201130) of Jilin Provincial Science&Technology DepartmentResearch Foundation(2011LG17) of Changchun University of Technology
文摘In this paper, we deal with one kind of two-player zero-sum linear quadratic stochastic differential game problem. We give the existence of an open loop saddle point if and only if the lower and upper values exist.
