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Zero-sum stochastic differential games of mean-field type and BSDEs

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1 Author(s)
Xu Ruimin ; Sch. of Math., Shandong Polytech. Univ., Jinan, China

In this paper, we deal with zero-sum stochastic game problems for stochastic differential equations (SDEs) of mean-field type, in which the coefficients depend on the law of some functional as well as the state of the process. Moreover, the cost functional is also of mean-field type. For the bounded case, applying the theory of backward stochastic differential equations, we obtain the existence of a saddle point under the Isaacs' condition.

Published in:

Control Conference (CCC), 2012 31st Chinese

Date of Conference:

25-27 July 2012