BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations

We deal with the risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations. Using backward stochastic differential equations we show the existence of an optimal control and, a saddle-point and an equilibrium point for respectively the zero-sum and nonzero-sum games. (C) 2003 Elsevier B.V. All rights reserved.