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

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. A necessary and sufficient condition for the existence of a closed-loop saddle point is established in terms of the solvability of a Riccati differential equation with certain regularity. It is possible that the closed-loop saddle point fails to exist, and at the same time, the corresponding Riccati equation admits a solution (which does not have needed regularity). Also, we will indicate that the solution of the Riccati equation may be non-unique.