Non-zero sum quadratic differential game of BSDEs and multi-dimensional diagonally quadratic BSDE

摘要

We introduce a non-zero sum differential game of backward stochastic differential equations (BSDEs). We construct the (unique) Nash equilibrium via the solution of a multi-dimensional diagonally quadratic BSDE, whose solvability is derived from both authors' recent joint paper Hu and Tang (2016).