标题：AN OPTIMAL FEEDBACK CONTROL-STRATEGY PAIR FOR ZERO-SUM LINEAR-QUADRATIC STOCHASTIC DIFFERENTIAL GAME: THE RICCATI EQUATION APPROACH
作者机构：[Yu, Z] School of Mathematics, Shandong University, Jinan, 250100, China
通讯作者地址：[Yu, ZY]Shandong Univ, Sch Math, Jinan 250100, Peoples R China.
来源：SIAM Journal on Control and Optimization
关键词：forward-backward stochastic differential equation;Riccati equation;linear-quadratic problem;stochastic differential game;stochastic optimal control
摘要：In this paper, we study a two-person zero-sum linear-quadratic stochastic differential game problem. From a new viewpoint, we construct an optimal feedback control-strategy pair for the game in a closed-loop form based on the solution of a Riccati equation. A key part of our analysis involves proving the global solvability of this Riccati equation, which is interesting in its own right. Moreover, we demonstrate an indefinite phenomenon arising from the linear-quadratic game.