The Equivalence Conditions of Optimal Feedback Control-Strategy Operators for Zero-Sum Linear Quadratic Stochastic Differential Game with Random Coefficients.

From the previous work, when solving the LQ optimal control problem with random coefficients (SLQ, for short), it is remarkably shown that the solution of the backward stochastic Riccati equations is not regular enough to guarantee the robustness of the feedback control. As a generalization of SLQ, interesting questions are, “how about the situation in the differential game?”, “will the same phenomenon appear in SLQ?”. This paper will provide the answers. In this paper, we consider a closed-loop two-person zero-sum LQ stochastic differential game with random coefficients (SDG, for short) and generalize the results of Lü–Wang–Zhang into the stochastic differential game case. Under some regularity assumptions, we establish the equivalence between the existence of the robust optimal feedback control strategy operators and the solvability of the corresponding backward stochastic Riccati equations, which leads to the existence of the closed-loop saddle points. On the other hand, the problem is not closed-loop solvable if the solution of the corresponding backward stochastic Riccati equations does not have the needed regularity.