Under the uniform convexity-concavity condition, the authors derive a closed-loop representation of the open-loop saddle point for constrained zero-sum SLQ games via solutions to indefinite extended stochastic Riccati equations with jumps.
Tang,General linear quadratic optimal stochastic control problems with random coefficients: linear stochastic hamilton systems and backward stochastic riccati equations,SIAM J
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Constrained zero-sum LQ differential games for jump-diffusion systems with random coefficients
Under the uniform convexity-concavity condition, the authors derive a closed-loop representation of the open-loop saddle point for constrained zero-sum SLQ games via solutions to indefinite extended stochastic Riccati equations with jumps.