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Stochastic differential game in high frequency market
Automatica, 2018zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Saito, Taiga, Takahashi, Akihiko
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The Existence of Game Value for Path-dependent Stochastic Differential Game
SIAM Journal on Control and Optimization, 2017Summary: In this paper we study a two-player zero-sum stochastic differential game for a path-dependent stochastic system under a recursive path-dependent cost functional. Due to the typical non-Markovian structure, the game value is a random field. Dividing the time horizontal into small intervals, we approximate the path-dependent game by a series of
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Linear Exponential Quadratic Stochastic Differential Games
IEEE Transactions on Automatic Control, 2016In this technical note a two person noncooperative stochastic differential game described by a linear stochastic equation with a Brownian motion and a payoff that is the exponential of a quadratic functional in the state and the control strategies of the two players is explicitly solved. The optimal strategies form a Nash equilibrium.
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Convergence of deep fictitious play for stochastic differential games
Frontiers of Mathematical Finance, 2022Ruimeng Hu, Jiequn Han
exaly
Backward equations, stochastic control and zero-sum stochastic differential games
Stochastic and Stochastics Reports, 1995S Hamadène
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Zero-sum stochastic differential games and backward equations
Systems and Control Letters, 1995S Hamadène
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Stochastic Differential Games and Viscosity Solutions of Hamilton–Jacobi–Bellman–Isaacs Equations
SIAM Journal on Control and Optimization, 2008Rainer Buckdahn
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Zero-Sum Risk-Sensitive Stochastic Differential Games
Mathematics of Operations Research, 2012Arnab Basu, Mrinal Ghosh
exaly