Stochastic Recursive Zero-sum Differential Games under Model Uncertainty
DOI:
https://doi.org/10.54097/hset.v1i.488Keywords:
Backward stochastic differential equations, Stochastic recursive zero-sum differential game, Saddle point, Model uncertaintyAbstract
In this paper, we study stochastic recursive zero-sum differential game problem where the payoff function is described by the solutions of a class of backward stochastic differential equations with uncertainty parameter , which are used to represent different market conditions. In such case, the existence of saddle points for stochastic differential game problems above-mentioned is proved.
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