| Abstract: |
| In this work, we focus on a type of Pareto game of stochastic differential equation with terminal state constraint. Firstly, we transform equivalently a nonlinear Pareto game problem with convex control space and terminal state constraint into a constrained stochastic optimal control problem. By virtue of duality theory and
stochastic maximum principle, a necessary condition for Pareto efficient strategy is established. With some convex assumptions, we also give a sufficient condition for Pareto efficient strategy. Secondly, we consider a linear-quadratic (LQ) Pareto game with terminal state constraint, and a feedback representation for Pareto efficient strategy is derived. Finally, as an application, we solve a government debt stabilization problem and give some numerical results. |
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