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The Dynamic Programming Method of Stochastic Differential Game for Functional Forward-Backward Stochastic System

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  • Shaolin Ji
  • Chuanfeng Sun
  • Qingmeng Wei

Abstract

This paper is devoted to a stochastic differential game (SDG) of decoupled functional forward-backward stochastic differential equation (FBSDE). For our SDG, the associated upper and lower value functions of the SDG are defined through the solution of controlled functional backward stochastic differential equations (BSDEs). Applying the Girsanov transformation method introduced by Buckdahn and Li (2008), the upper and the lower value functions are shown to be deterministic. We also generalize the Hamilton-Jacobi-Bellman-Isaacs (HJBI) equations to the path-dependent ones. By establishing the dynamic programming principal (DPP), we derive that the upper and the lower value functions are the viscosity solutions of the corresponding upper and the lower path-dependent HJBI equations, respectively.

Suggested Citation

  • Shaolin Ji & Chuanfeng Sun & Qingmeng Wei, 2013. "The Dynamic Programming Method of Stochastic Differential Game for Functional Forward-Backward Stochastic System," Mathematical Problems in Engineering, Hindawi, vol. 2013, pages 1-14, March.
    • Handle: RePEc:hin:jnlmpe:958920
    DOI: 10.1155/2013/958920
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