Results 241 to 250 of about 2,781,065 (282)

Numerical Approximations for Stochastic Differential Games

SIAM Journal on Control and Optimization, 2002
The Markov chain approximation method [see for example \textit{H. J. Kushner} and \textit{P. Dupuis}, ``Numerical methods for stochastic control problems in continuous time'' (2001; Zbl 0968.93005)] is a widely used method for the numerical solution for standard forms of stochastic control problems with reflected-jump diffusion models, and converges ...
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Stochastic Differential Games

2019
In this section we present the dynamic programming approach to stochastic differential games. We only present the case for zero sum games. For the extension to non-zero sum games, we refer to [MO].
Bernt Øksendal, Agnès Sulem
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Stochastic Differential Game Techniques

1981
The paper deals with the theory of stochastic differential games and includes a comprehensive review of the subject under discussion. The main aspects of stochastic differential games discussed in the paper are: problem formulation, solution concepts and the difficulties encountered in trying to obtain a solution.
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Transboundary Emission Under Stochastic Differential Game

International Game Theory Review, 2020
In this study we provide a more robust transboundary industrial pollution reduction strategy for global emission collaborations. We consider the dynamics of each country’s quantity of pollution as a Brownian motion with Jumps to capture the systematic jumps caused by surprise effects arising from policy uncertainties within the economy. When the output
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On a Differential Game in a Stochastic System

Proceedings of the Steklov Institute of Mathematics, 2020
We study the game problem of approach for a system whose dynamics is described by a stochastic differential equation in a Hilbert space. The main assumption on the equation is that the operator multiplying the system state generates a strongly continuous semigroup (a semigroup of class  $$C_{0}$$ ).
L. A. Vlasenko, A. G. Rutkas, A. A. Chikrii   +2 more
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Adaptive estimation of stochastic differential games

2012 IEEE 51st IEEE Conference on Decision and Control (CDC), 2012
We consider online estimation in the classic linear-quadratic dynamic stochastic zero sum two player game with unknown system parameters. We construct a fixed gain adaptive algorithm and give a stochastic averaging analysis of its behaviour. Previous stochastic work has not treated fixed gain algorithms which are needed in practice to enable tracking.
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A stochastic differential game of capitalism

Journal of Mathematical Economics, 2010
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Leong, Chee Kian, Huang, Weihong
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Stochastic Differential Games

2014
In this chapter, we will deal with zero-sum two-player time-homogeneous stochastic differential games and viscosity solutions of the Isaacs equations arising from such games, via the dynamic programming principle.In Sect. 4.1, we are concerned with basic concepts and definitions and we introduce stochastic differential games, referring to (Controlled ...
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The Existence of Value in Stochastic Differential Games

SIAM Journal on Control and Optimization, 1976
Using the techniques of Davis and Varaiya [3], [4] a two-person zero sum differential game is considered, whose dynamics are interpreted using the Girsanov measure transformation method. If the Isaacs condition holds it is shown that the upper and lower values of the game are equal and there is a saddle point in feedback strategies.
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Adaptive Stabilization of Noncooperative Stochastic Differential Games

SIAM Journal on Control and Optimization
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Nian Liu, Lei Guo
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