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https://doi.org/10.1080/00207179.2020.1859136
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Cite Journal: International Journal of Control |  Publication Date: Dec 17, 2020 |
 Citations: 3 |
This paper is concerned with one kind of two-person zero-sum linear-quadratic stochastic differential game with jumps. A closed-loop formulation for the saddle points of the game is established in a mixed-strategy-law form, for which the associated Riccati equation and Hamiltonian system are solved.
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