| In this paper,we consider a two-person zero-sum linear quadratic stochastic differential game under g-expectation.To solve this problem,we introduce the concept of open-loop and closed-loop saddle points.The stationarity condition of the open-loop saddle point is characterized by an adapted solution to a linear forward-backward stochastic differential equations.And the closed-loop saddle point is characterized by the regular solution to a Riccati equation. |
