The two-player nonzero-sum linear-exponential-quadratic stochastic differential game is studied.The game takes into account the players'attitudes to risk.The nonlinear transformations and change of probability mea...The two-player nonzero-sum linear-exponential-quadratic stochastic differential game is studied.The game takes into account the players'attitudes to risk.The nonlinear transformations and change of probability measure techniques are used to study the existence of both open-loop and closed-loop Nash equilibria for the game.Some examples are constructed to illustrate their differences.Furthermore,theoretical results are applied to solve the risk-sensitive portfolio game problem in the financial market and show the effects of risk attitudes and economic performance on equilibria.展开更多
文摘The two-player nonzero-sum linear-exponential-quadratic stochastic differential game is studied.The game takes into account the players'attitudes to risk.The nonlinear transformations and change of probability measure techniques are used to study the existence of both open-loop and closed-loop Nash equilibria for the game.Some examples are constructed to illustrate their differences.Furthermore,theoretical results are applied to solve the risk-sensitive portfolio game problem in the financial market and show the effects of risk attitudes and economic performance on equilibria.
