Linear Quadratic Stochastic Differential Games: Open-Loop and Closed-Loop Saddle Points

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Abstract
In this paper, we consider a linear quadratic stochastic two-person zero-sum differential game. The controls for both players are allowed to appear in both drift and diffusion of the state equation. The weighting matrices in the performance functional are not assumed to be definite/non-singular. The existence of an open-loop saddle point is characterized by the existence of an adapted solution to a linear forward-backward stochastic differential equation with constraints, together with a convexity-concavity condition, and the existence of a closed-loop saddle point is characterized by the existence of a regular solution to a Riccati differential equation. It turns out that there is a significant difference between open-loop and closed-loop saddle points. Also, it is found that there is an essential feature that prevents a linear quadratic optimal control problem from being a special case of linear quadratic two-person zero-sum differential games.

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